Monetary policy transmission mechanism in Botswana: A time-varying parameter VAR approach
Master Thesis
2021
Permanent link to this Item
Authors
Supervisors
Journal Title
Link to Journal
Journal ISSN
Volume Title
Publisher
Publisher
Department
Faculty
License
Series
Abstract
This study examines the evolution of Botswana's monetary policy transmission mechanism by employing a time-varying parameter model. Botswana provides a good context for assessing the transmission of monetary policy over time, following structural and macroeconomic reforms since 1989. The time-varying parameter vector autoregressive (TVP-VAR) model with stochastic volatility is employed for quarterly time series data from 1994Q1 to 2018Q4. The study evaluates how the responses of real non-mining output and price levels to the Bank Rate, exchange rate, and credit shocks changed over time. The paper contributes to the literature by capturing the timevarying nature of the underlying structure of the monetary policy and the economy of Botswana. The empirical results indicate that real output, inflation, and exchange rate responses to monetary policy shocks changed over time under the study period, confirming the time-varying nature of monetary policy transmission for Botswana.
Description
Keywords
Reference:
Ratsebe, T. 2021. Monetary policy transmission mechanism in Botswana: A time-varying parameter VAR approach. . ,Faculty of Commerce ,School of Economics. http://hdl.handle.net/11427/33910