Advertisement

Journal of the Knowledge Economy

, Volume 10, Issue 1, pp 348–364 | Cite as

Diagnosis of Monetary Policy in Tunisia During the Last Decade: a DSGE Model Approach

  • Kawther AlimiEmail author
  • Mohamed Chakroun
  • Grégory Levieuge
Article
  • 139 Downloads

Abstract

This paper intends to analyze the dynamics of monetary policy in Tunisia during the last decade. In particular, we seek to explain the main factors that have hindered the achievement of the paramount objective of the monetary authority to stabilize prices. To do this, we used a dynamic stochastic general equilibrium (DSGE) model, of a small open economy. The model is estimated by using Bayesian techniques and includes three different types of structural shocks. We found that the output gap is less sensitive to interest rates, which reduces the impact of the real effects of the monetary policy shocks on aggregate demand. Moreover, Tunisia’s central bank has not followed during the 2000s an offensive and stabilizing monetary policy, given that the nominal interest rate reacts less to inflation deviations from its target and actively to fluctuations in production from its retarded level.

Keywords

Monetary policy DSGE model Bayesian analysis 

References

  1. Abdelli, S., Belhadj, B., 2015. “The Dynamic Stochastic General Equilibrium Model for the Monetary Policy Analysis in Tunisia”. Global Journal of Human-Social Science (E) Economics, Volume XV Issue III Version I.Google Scholar
  2. Adjemian, S., Devulder, A., 2011. “Évaluation de la politique monétaire dans un modèle DSGE pour la zone euro”. Centre pour la recherche économique et ses applications (CEPREMAP), Dynare Working Papers Series no. 7.Google Scholar
  3. Ambler S., Dib A. et Rebei N. 2003. "Nominal Rigidities and Exchange Rate Pass-Through in a Structural Model of a Small Open Economy," Staff Working Papers 03–29, Bank of Canada.Google Scholar
  4. Amiri, K., & Talbi, B. (2013). Règle de Taylor dans le cadre du ciblage d’inflation : cas de la Tunisie. La Revue Gestion et Organisation, 5, 176–182.CrossRefGoogle Scholar
  5. An, S., & Schorfheide, F. (2007). Bayesian analysis of DSGE models. Econ Rev, 26(2–4), 113–172.CrossRefGoogle Scholar
  6. BCT (2015). Annual Report, Central Bank of Tunisia. https://www.bct.gov.tn/bct/siteprod/documents/RA_2015_fr.pdf.
  7. Ben Aîssa, M., & Rebei, N. (2012). Price subsidies and the conduct of monetary policy. J Macroecon, 34(3), 769–787.CrossRefGoogle Scholar
  8. Boivin, Jean, Marc P. Giannoni, 2003. "Has Monetary Policy Become More Effective?," NBER Working Papers 9459, National Bureau of Economic Research, Inc.Google Scholar
  9. Calvo, G. A. (1983). Staggered prices in a utility-maximizing framework. J Monet Econ, 12(3), 383–398.CrossRefGoogle Scholar
  10. Castelnuovo, E. (2006). Monetary policy switch, the taylor curve, and the great moderation. Journal of Economic Literature. https://ssrn.com/abstract=880061.
  11. Clarida, R., Gali, J., & Gertler, M. (2000). Monetary policy rules and macroeconomic stability: evidence and some theory. The Quarterly Journal of Economics, February, 2000, 147–180.CrossRefGoogle Scholar
  12. Coupet, Maylis, and Jean-Paul Reindeer, 2008, "Tax Reforms in a DSGE Model France in Open Economy," Economics & Forecasting, 2/3, num. 183/184, JEL C11, D58, E20, E63, H30, 199–222.Google Scholar
  13. Del Negro, M, F Schorfheide 2012 - DSGE model-based forecastingAvailable at SSRN 2018451,Google Scholar
  14. Dib, A. (2003). An estimated Canadian DSGE model with nominal and real rigidities. Canadian Journal of Economics, Canadian Economics Association, vol, 36(4), 949–972.Google Scholar
  15. Fern ndez-Villaverde, J., & Rubio-RamÌrez, J. F. (2004). Comparing dynamic equilibrium economies to data: a Bayesian approach. J Econ, 123, 153–187.CrossRefGoogle Scholar
  16. Gali, J., 2010, “The Return of the Wage Phillips Curve,” Manuscript, CREI.Google Scholar
  17. Gali, J., Monacelli, T., 2004. “Monetary Policy and Exchange Rate Volatility in a Small Open Economy”. The Review of Economic Studies, Vol. 72, No. 3 (Jul. 2005), pp. 707–734.Google Scholar
  18. Geweke, J., & Petrella, L. (1998). Prior density-ratio class robustness in econometrics- journal of Business & Economic Statistics. Pages, 469-478.Google Scholar
  19. Jouini, N., Rebei, N., 2013. “The Welfare Implications of Services Liberalization in a Developing Country: Evidence from Tunisia”. IMF working paper No.13/110.Google Scholar
  20. Juillard, M., P. Karam, D. Laxton, and P. Pesenti, 2006, A Simple Welfare-Based Monetary Policy Rule in an Estimated DSGE Model of the US Economy, ECB Working Paper No. 613.Google Scholar
  21. Lahouel M. H., Slimane S. B. H., Tahar M. B. 2012, “Public Expenditures Shocks in a Real Business Cycle Model: Implications for The Tunisian Economy”. 18th Annual Conference Economic Research Forum, Corruption and Economic Development, 37p.Google Scholar
  22. Leeper, E. and T. Zha, 2000, Assessing Simple Policy Rules: A View from a Complete Macro Model, Federal Reserve Bank of Atlanta Working Paper 2000–19.Google Scholar
  23. Lubik Thomas A. et Schorfheide, F., 2004, “Testing for indeterminacy: an application to U.S. monetary policy”. American Economic Review, vol. XCIV n° 1, pp. 190–217.Google Scholar
  24. Mankiw Gregory N., 2010, Macroéconomie, 4ième édition, De Boeck Université, Bruxelles.Google Scholar
  25. Mésonnier, J., Renne, J., 2004. “Règle de Taylor et politique monétaire dans la zone euro”. Notes d’Études et de Recherche de la Banque de France.Google Scholar
  26. Ragan, C. (2007). L’importance de la politique monétaire une perspective canadienne. Revue de la Banque du Canada, Hiver, 2006–2007.Google Scholar
  27. Rebei N., Ambler S. and Dib A., 2004. "Optimal Taylor Rules in an Estimated Model of a Small Open Economy," Computing in Economics and Finance 2004 125, Society for Computational Economics.Google Scholar
  28. Sergi F., 2014, “Quelle méthodologie pour une étude des modèles DSGE ? Suggestions à partir d’un état des lieux des recherches sur la modélisation”, Documents de travail du Centre d’Economie de la Sorbonne 2014.67 - ISSN : p. 1955-611X. 2014.Google Scholar
  29. Smets, F., & Wouters, R. (2003). An estimated dynamic stochastic general equilibrium model for the euro area. J Eur Econ Assoc, 1(5), 1123–1175.CrossRefGoogle Scholar
  30. Smets, F., & Wouters, R. (2004). Comparing shocks and frictions in US and euro area business cycles: a Bayesian DSGE approach. J Appl Econ, 20(2), 161–183.CrossRefGoogle Scholar
  31. Smets, F. R., & Wouters, R. (2007). Shocks and frictions in US business cycles: a Bayesian DSGE approach. Am Econ Rev, 97(3), 586–606.CrossRefGoogle Scholar
  32. Tovar, C. E. (2009). DSGE models and central banks. Economics: The Open-Access, Open-Assessment E-Journal, 3(2009–16), 1–31.Google Scholar
  33. Tsasa J.-P. K. 2014, Diagnostic de la politique monétaire en Rép. Dém. Congo: Approche par l’équilibre général dynamique stochastique. Dynare Working Papers Series, 38, 72p.Google Scholar
  34. Vangu, J.P.K.T. (2014). Diagnostic de la politique monétaire en Rép. Dém. Congo–Approche par l’Equilibre Général Dynamique Stochastique. Résumé.Google Scholar
  35. Woodford, M. (2003). Comment on: multiple-solution indeterminacies in monetary policy analysis. Journal of Monetary Economics, Elsevier, 50(5), 1177–1188.CrossRefGoogle Scholar

Copyright information

© Springer Science+Business Media New York 2017

Authors and Affiliations

  • Kawther Alimi
    • 1
    Email author
  • Mohamed Chakroun
    • 1
  • Grégory Levieuge
    • 1
  1. 1.Faculty of Economics and Management of SfaxSfaxTunisia

Personalised recommendations