IMF Working Papers

Inflation in Tajikistan: Forecasting Analysis and Monetary Policy Challenges

By Svetlana Vtyurina, Fahad Alturki

January 1, 2010

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Format: Chicago

Svetlana Vtyurina, and Fahad Alturki. "Inflation in Tajikistan: Forecasting Analysis and Monetary Policy Challenges", IMF Working Papers 2010, 017 (2010), accessed November 9, 2025, https://doi.org/10.5089/9781451962178.001

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

This paper attempts to explain short- and long-term dynamics of-and forecast-inflation in Tajikistan using the Vector Error Correction Model (VECM) and Autoregressive Moving Average Model (ARMA). By analyzing different transmission channels through the VECM, we were able to evaluate their relative dominance, magnitude, and speed of transition to the equilibrium price level, with the view of identifying those policy tools that will enhance the effectiveness of monetary policy. We found that excess supply of broad money is inflationary in both the short and long term. The dynamic analysis also demonstrates that the exchange rate and international inflation have a strong impact on local prices. Available monetary instruments, such as the refinancing rate, have proven to be ineffective. Therefore, the Tajik monetary authority could greatly benefit from enhancing its monetary instruments toolkit, including by developing the interest rate channel, to improve its monetary policy execution and to achieve stable inflationary conditions.

Subject: Economic forecasting, Exchange rates, Inflation, Monetary base, Vector error correction models

Keywords: ARMA, Interest rate, Monetary policy, WP

Publication Details

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