Asymmetric effects of monetary policy: A Markov-Switching SVAR approach

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dc.contributor.advisorKotze, Kevin
dc.contributor.authorGaopatwe, Molebogeng Patience
dc.date.accessioned2022-02-18T08:30:45Z
dc.date.available2022-02-18T08:30:45Z
dc.date.issued2021
dc.date.updated2022-02-14T10:34:45Z
dc.description.abstractThis paper examines the effects of monetary policy on macroeconomic variables in Botswana as a developing small macro-economy using the Markov-switching structural vector autoregressive (MS-SVAR) framework, utilising time-series data from 1994: Q1 to 2019: Q4. The study makes use of bank rate (interest rate), inflation and output gap. The first model is a structural vector autoregressive (VAR) model that takes the form employed by Rudebusch and Svensson (1999), whilst the second one makes use of the same structure but includes Markov switching in the policy rule (i.e., Markov switching SVAR). Regime-switching models can effectively describe the data generating process when considering both in-sample and out of sample evaluations compared to the linear models, which submerge the structural changes that have occurred in the economy over the years. The results from the SVAR shows that monetary policy has a symmetric impact on the output gap and inflation. Therefore, it can be noted that non-linearities in the structural model do not necessarily imply asymmetric effects of shocks. Furthermore, the MS-SVAR shows that the Central Bank of Botswana responds differently to policy shocks in different regimes. This underscores the importance of regime-switching features in providing a more accurate description of the economy.
dc.identifier.apacitationGaopatwe, M. P. (2021). <i>Asymmetric effects of monetary policy: A Markov-Switching SVAR approach</i>. (). ,Faculty of Commerce ,School of Economics. Retrieved from http://hdl.handle.net/11427/35734en_ZA
dc.identifier.chicagocitationGaopatwe, Molebogeng Patience. <i>"Asymmetric effects of monetary policy: A Markov-Switching SVAR approach."</i> ., ,Faculty of Commerce ,School of Economics, 2021. http://hdl.handle.net/11427/35734en_ZA
dc.identifier.citationGaopatwe, M.P. 2021. Asymmetric effects of monetary policy: A Markov-Switching SVAR approach. . ,Faculty of Commerce ,School of Economics. http://hdl.handle.net/11427/35734en_ZA
dc.identifier.ris TY - Master Thesis AU - Gaopatwe, Molebogeng Patience AB - This paper examines the effects of monetary policy on macroeconomic variables in Botswana as a developing small macro-economy using the Markov-switching structural vector autoregressive (MS-SVAR) framework, utilising time-series data from 1994: Q1 to 2019: Q4. The study makes use of bank rate (interest rate), inflation and output gap. The first model is a structural vector autoregressive (VAR) model that takes the form employed by Rudebusch and Svensson (1999), whilst the second one makes use of the same structure but includes Markov switching in the policy rule (i.e., Markov switching SVAR). Regime-switching models can effectively describe the data generating process when considering both in-sample and out of sample evaluations compared to the linear models, which submerge the structural changes that have occurred in the economy over the years. The results from the SVAR shows that monetary policy has a symmetric impact on the output gap and inflation. Therefore, it can be noted that non-linearities in the structural model do not necessarily imply asymmetric effects of shocks. Furthermore, the MS-SVAR shows that the Central Bank of Botswana responds differently to policy shocks in different regimes. This underscores the importance of regime-switching features in providing a more accurate description of the economy. DA - 2021_ DB - OpenUCT DP - University of Cape Town KW - Monetary policy KW - small macro-economy KW - Markov switching structural vector autoregressive model (MS-SVAR). LK - https://open.uct.ac.za PY - 2021 T1 - Asymmetric effects of monetary policy: A Markov-Switching SVAR approach TI - Asymmetric effects of monetary policy: A Markov-Switching SVAR approach UR - http://hdl.handle.net/11427/35734 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/35734
dc.identifier.vancouvercitationGaopatwe MP. Asymmetric effects of monetary policy: A Markov-Switching SVAR approach. []. ,Faculty of Commerce ,School of Economics, 2021 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/35734en_ZA
dc.language.rfc3066eng
dc.publisher.departmentSchool of Economics
dc.publisher.facultyFaculty of Commerce
dc.subjectMonetary policy
dc.subjectsmall macro-economy
dc.subjectMarkov switching structural vector autoregressive model (MS-SVAR).
dc.titleAsymmetric effects of monetary policy: A Markov-Switching SVAR approach
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationlevelMCom
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