Monetary policy transmission mechanism in Botswana: A time-varying parameter VAR approach

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dc.contributor.advisorMakanza, Christine
dc.contributor.authorRatsebe, Thobo
dc.date.accessioned2021-09-15T11:33:16Z
dc.date.available2021-09-15T11:33:16Z
dc.date.issued2021
dc.date.updated2021-09-15T08:11:16Z
dc.description.abstractThis 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.
dc.identifier.apacitationRatsebe, T. (2021). <i>Monetary policy transmission mechanism in Botswana: A time-varying parameter VAR approach</i>. (). ,Faculty of Commerce ,School of Economics. Retrieved from http://hdl.handle.net/11427/33910en_ZA
dc.identifier.chicagocitationRatsebe, Thobo. <i>"Monetary policy transmission mechanism in Botswana: A time-varying parameter VAR approach."</i> ., ,Faculty of Commerce ,School of Economics, 2021. http://hdl.handle.net/11427/33910en_ZA
dc.identifier.citationRatsebe, T. 2021. Monetary policy transmission mechanism in Botswana: A time-varying parameter VAR approach. . ,Faculty of Commerce ,School of Economics. http://hdl.handle.net/11427/33910en_ZA
dc.identifier.ris TY - Master Thesis AU - Ratsebe, Thobo AB - 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. DA - 2021_ DB - OpenUCT DP - University of Cape Town KW - Economics LK - https://open.uct.ac.za PY - 2021 T1 - Monetary policy transmission mechanism in Botswana: A time-varying parameter VAR approach TI - Monetary policy transmission mechanism in Botswana: A time-varying parameter VAR approach UR - http://hdl.handle.net/11427/33910 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/33910
dc.identifier.vancouvercitationRatsebe T. Monetary policy transmission mechanism in Botswana: A time-varying parameter VAR approach. []. ,Faculty of Commerce ,School of Economics, 2021 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/33910en_ZA
dc.language.rfc3066eng
dc.publisher.departmentSchool of Economics
dc.publisher.facultyFaculty of Commerce
dc.subjectEconomics
dc.titleMonetary policy transmission mechanism in Botswana: A time-varying parameter VAR approach
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationlevelMCom
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