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Modelling less developed emerging markets:the case of monetary transmission in Tunisia

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  • Jan Przystupa,
  • Ewa Wróbel

Abstract

Our paper is a case study devoted to a country which belongs to a group of less developed EMEs (LDEMEs), not depending on natural resources. In spite of many features which distinguish such countries from developed market economies, they are frequently modelled basing on assumptions which are better-suited for mature economies, e.g. New Keynesian DSGE models. From the point of view of monetary transmission analysis, the most important distortions which make LDEMEs special are: underdeveloped shallow financial markets, uncompetitive labour market, informal economy, weak institutions, problematic central bank independence, state ownership and controls, especially of prices and in the financial sector. In the paper we propose a complex way of proceeding in modelling the LDMEs, starting from the stylized facts and assessment of a distance of the modelled economy from theoretical assumptions and pointing at the most problematic sectors, through structural VARs providing reactions to shocks with a relatively small number of assumptions, to a suite of structural models, estimated with classical and Bayesian methods, to have a range of possible reactions. We show that to be applicable, the standard NK models need to be adjusted with specific features of LDEMEs.

Suggested Citation

  • Jan Przystupa, & Ewa Wróbel, 2015. "Modelling less developed emerging markets:the case of monetary transmission in Tunisia," NBP Working Papers 211, Narodowy Bank Polski.
  • Handle: RePEc:nbp:nbpmis:211
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    References listed on IDEAS

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    1. Christian Glocker & Pascal Towbin, 2012. "Reserve Requirements for Price and Financial Stability: When Are They Effective?," International Journal of Central Banking, International Journal of Central Banking, vol. 8(1), pages 65-114, March.
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    4. Carlos Robalo Marques, 2004. "Inflation Persistence: Facts or Artefacts?," Working Papers w200408, Banco de Portugal, Economics and Research Department.
    5. Kishan, Ruby P & Opiela, Timothy P, 2000. "Bank Size, Bank Capital, and the Bank Lending Channel," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 32(1), pages 121-141, February.
    6. Christian Glocker & Pascal Towbin, 2012. "The Macroeconomic Effects of Reserve Requirements," WIFO Working Papers 420, WIFO.
    7. Carlos Robalo Marques, 2005. "Inflation persistence: facts or artefacts?," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
    8. Mr. Shanaka J Peiris & Mr. Magnus Saxegaard, 2007. "An Estimated DSGE Model for Monetary Policy Analysis in Low-Income Countries," IMF Working Papers 2007/282, International Monetary Fund.
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    Cited by:

    1. Jan Przystupa & Ewa Wróbel, 2016. "Modelling monetary transmission in less developed emerging markets: the case of Tunisia," Bank i Kredyt, Narodowy Bank Polski, vol. 47(5), pages 395-434.

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    More about this item

    Keywords

    (LDEMEs); monetary transmission; VAR; structural models.;
    All these keywords.

    JEL classification:

    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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