{
  "title": "Monetary Policy Transmission in Mauritius Using a VAR Analysis",
  "publication": "IMF Working Papers, February 1, 2010",
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  "summary": "Applying commonly used vector autoregression (VAR) techniques, this paper investigates the transmission mechanism of monetary policy on output and prices for Mauritius, using data for 1999-2009.",
  "sections": [
    {
      "heading": "Summary",
      "content": "- Applies commonly used vector autoregression (VAR) techniques to investigate the transmission mechanism of monetary policy on output and prices for Mauritius, using data for 1999-2009.\n- Finds evidence pointing to a rather weak monetary policy transmission mechanism.\n- Notes differences in the transmission mechanism depending on whether core or headline consumer price index is used in the estimations."
    },
    {
      "heading": "Key findings",
      "content": "- An unexpected monetary policy tightening — an increase in the Bank of Mauritius policy interest rate — leads to a decline in prices and output, but the effect on output is weaker.\n- An unexpected decrease in the money supply results in a decrease in prices.\n- An unexpected increase in the nominal effective exchange rate results in a decrease in prices.\n- Variations of the policy variables account for small a percentage of the fluctuations in output and prices."
    },
    {
      "heading": "Methodology",
      "content": "- Empirical approach: vector autoregression (VAR) techniques.\n- Sample period: 1999-2009.\n- Price measures: estimations performed using both core consumer price index and headline consumer price index, with noted differences in transmission across these measures."
    },
    {
      "heading": "Policy implications and interpretation",
      "content": "- The combination of results (weak output response, price declines from several shocks, and small explanatory power of policy variables for fluctuations) suggests a rather weak monetary policy transmission mechanism in Mauritius over the sample period.\n- The sensitivity of results to the choice between core and headline CPI indicates that policy assessment and rule evaluation should account for the price measure used.\n\n---\n\n Content in this bundle\n\n- wp1036\n  - wp1036 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - wp1036 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/31/monetary-policy-transmission-in-mauritius-using-a-var-analysis-23594"
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    "Authors: Charalambos G Tsangarides",
    "Published: February 1, 2010",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781451962789.001",
    "Applies commonly used vector autoregression (VAR) techniques to investigate the transmission mechanism of monetary policy on output and prices for Mauritius, using data for 1999-2009.",
    "Finds evidence pointing to a rather weak monetary policy transmission mechanism.",
    "Notes differences in the transmission mechanism depending on whether core or headline consumer price index is used in the estimations.",
    "An unexpected monetary policy tightening — an increase in the Bank of Mauritius policy interest rate — leads to a decline in prices and output, but the effect on output is weaker.",
    "An unexpected decrease in the money supply results in a decrease in prices.",
    "An unexpected increase in the nominal effective exchange rate results in a decrease in prices.",
    "Variations of the policy variables account for small a percentage of the fluctuations in output and prices.",
    "Empirical approach: vector autoregression (VAR) techniques.",
    "Sample period: 1999-2009.",
    "Price measures: estimations performed using both core consumer price index and headline consumer price index, with noted differences in transmission across these measures.",
    "The combination of results (weak output response, price declines from several shocks, and small explanatory power of policy variables for fluctuations) suggests a rather weak monetary policy transmission mechanism in Mauritius over the sample period.",
    "The sensitivity of results to the choice between core and headline CPI indicates that policy assessment and rule evaluation should account for the price measure used.",
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