突尼斯央行是遵循线性还是非线性增广泰勒法则?

Lamia Beldi, Mouldi Djelassi
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引用次数: 0

摘要

阿拉伯之春国家的政治转型伴随着经济和金融指标的恶化,比如突尼斯的情况。因此,本文旨在更深入地了解反映突尼斯货币当局在当前经济和金融不稳定占主导地位的行为的规则的性质。特别是,本文评估了突尼斯中央银行是否确实遵循线性或非线性增广泰勒规则。为了达到我们的目的,我们使用泰勒规则的前瞻性版本,通过增加汇率的影响来估计线性和非线性模型。采用平滑过渡回归模型对非线性规律进行估计。所得结果表明,突尼斯中央银行在货币政策的实施中遵循非线性泰勒规则。此外,我们的证据表明,突尼斯货币当局对通货膨胀率预测偏差的反应,产出缺口和汇率变化的幅度和统计显著性跨越高利率和低利率制度。特别是,当滞后利率高于4.76%的门槛水平时,政策制定者的主要目标是抑制通货膨胀率和限制汇率贬值,而不是促进经济活动。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Is the Tunisian Central Bank Following a Linear or a Nonlinear Augmented Taylor Rule ?
The political transition in the Arab Spring countries has been accompanied by a deterioration of economic and financial indicators like the Tunisian case. Therefore, this paper aims to get a deeper understanding the nature of the rule that reflects the behavior of the Tunisian monetary authority in the current dominance of economic and financial instability. In particular, this paper assesses whether the Tunisian Central Bank is indeed following a linear or a non linear augmented Taylor rule. For our purpose, we use a forward looking version of Taylor rule augmented by including the effect of exchange rate to estimate the linear and the nonlinear models. A smooth transition regression model is employed to estimate the nonlinear rule. The results obtained imply that the Tunisian Central Bank follows a nonlinear Taylor rule in the conduct of monetary policy. In addition, our evidence suggests that the reaction of monetary authority in Tunisia to the deviation of forecasts of inflation rate, output gap and exchange rate changes in terms of magnitude and statistical significance across the high and low interest rate regimes. In particular, when the lagged interest rate is above the threshold level of 4.76%, the main objective of the policy makers is to fight the inflation rate and to limit the depreciation of exchange rate rather than to boost the economic activity.
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