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首页> 外文期刊>International Journal of Sustainable Economy >Assessment of the interest rate and exchange rate channels of monetary policy transmission in Zambia: evidence based on SVAR approach
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Assessment of the interest rate and exchange rate channels of monetary policy transmission in Zambia: evidence based on SVAR approach

机译：赞比亚货币政策传导的利率和汇率渠道评估：基于SVAR方法的证据

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摘要

A structural vector autoregression (SVAR) based on quarterly data over the period 2000Q1–2015Q2 is employed to assess the interest rate and exchange rate channels of monetary policy transmission in Zambia. The model set up to assess the interest rate channel and exchange rate channel is based on the real business cycle new Keynesian monetary economics which assumes nominal and real rigidities. In this framework, the central bank can affect real output and inflation provided it can affect the real interest rate through the control of the nominal interest rate. Therefore, a SVAR in gaps consistent with real business cycle models with an optimal three lags is estimated and results indicate that tight monetary conditions lead to contracting economic activity and falling inflation. Other results show that real depreciation of the Kwacha leads to increasing inflation and decreasing economic activity conflicting the expenditure switching hypothesis. Further, historical decomposition of inflation indicate that the exchange rate has in the past been the most important variable explaining variations in inflation followed by economic activity and lastly interest rate fluctuations.
机译：使用基于2000Q1-2015Q2季度数据的结构向量自回归（SVAR）来评估赞比亚货币政策传导的利率和汇率渠道。建立用于评估利率渠道和汇率渠道的模型是基于真实商业周期的新凯恩斯主义货币经济学，该模型假设名义和实际刚性。在这种框架下，只要中央银行可以通过控制名义利率来影响实际利率，它就可以影响实际产出和通货膨胀。因此，估计出与实际商业周期模型一致的，具有最佳三个滞后的差距中的SVAR，结果表明紧缩的货币状况导致经济活动收缩和通货膨胀下降。其他结果表明，克瓦查人的实际贬值导致通货膨胀增加和经济活动减少，这与支出转换假说相矛盾。此外，通货膨胀的历史分解表明，汇率一直是解释通货膨胀变化，经济活动和最终利率波动的最重要变量。

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