Book
Share
Back Matter

Back Matter

Author(s):
Andrew Berg, and Rafael Portillo
Published Date:
April 2018
    Share
    • ShareShare
    Show Summary Details

    Index

    A

    • Abuka, C. 101

    • acyclicality, of trade balance 62, 82, 84

    • ad-hoc models 136

    • Agenor, P. 136

    • agriculture, and GDP 65

    • Aguiar, M. 84

    • aid inflows

      • aggregation 217

      • alternative reserve policy 210, 222–3

      • asset holders 215–16

      • BOP (balance of payments) 219

      • calibrated parameters 224

      • capital account opening 229–30

      • central banks model 219

      • complete spending and absorption 210–11, 222, 225, 226

      • demand pressures 225–8

      • equilibrium conditions model 219–20

      • external balance 221

      • firms model 217–18

      • fiscal/reserve policy combinations 211, 221–3

      • and FX (foreign exchange) 211

      • government model 218–19

      • households model 215–17

      • incomplete reserve sterilization 230

      • internal balance 220–1

      • and limited capital mobility 211

      • LL (labour market equilibrium) 219

      • model results 212–13

      • model solution graphic representation 220–1

      • model used 211–12, 215–21

      • natural rate of interest 222–3

      • non-asset holders 216

      • non-asset holders exclusion 229

      • non-traded goods sector 217

      • policy interactions under sticky prices 223–30

      • real exchange rate 222–3

      • reserve policy 210, 222–3, 229–30

      • sensitivity analysis 228–30

      • short-run macroeconomics of 210–31

      • simulated results 224–5

      • spend/absorption data 226

      • spend/no absorption data 227

      • temporary real depreciation and demand pressures 228

      • traded goods sector 217

      • in Uganda 210, 213–15, 223–30

    • analytical issues, overview 135–41

    B

    • Bai-Perron statistical test 72

    • balance of payment indicators 69–71

    • balance of payment shocks 62

    • balance of payments 219, 244

    • balance sheet effects on monetary policy, modelling see sterilized interventions

    • bank deposits 6

    • bank lending channel 99–101

    • Bank of Zambia 340, 372–3

    • banking sector shock 362–3, 372

    • BEAC (Banque des Etats de l’Afrique Centrale) 418, 434

    • behavioural lags 125–6

    • behind the curve 20

    • Berg, Andrew 13, 48

    • BoG (Bank of Ghana) 400, 401, 402, 406, 409

    • BOT (Bank of Tanzania) 110

    • BOU (Bank of Uganda) 33–52, 98, 110

    • BP (Band-Pass) filter 71, 73

    • business cycle dynamics 72–82

    C

    • Cameroon see CEMAC

    • capital account openness 4, 69–71

    • capital flow shifts 102

    • capital flow shock 12, 71

    • CBK (Central Bank of Kenya) 95, 97, 98, 266, 268, 282–3, 300, 302–3, 310, 311, 325–6

    • CBR (Central Bank Rate) 39, 40, 42, 46–8, 95, 97, 98, 282, 325

    • CBs (central banks)

      • and aid inflows 219

      • balance sheets 238

      • central bank credibility 272, 399, 401

      • communications policy 20–1, 36, 45–6, 163

      • emergence/role of 2

      • and exchange rates 2, 236

      • financial sector behaviour 240–1

      • and fiscal deficits 3

      • fiscal policy and bank operations 13–14, 29

      • forward-looking strategy 20–1

      • and FX (foreign exchange) 2–3, 13–14, 16, 18, 24, 140, 238

      • and FX (foreign exchange) interventions 232–4

      • and FX (foreign exchange) reserves 238

      • implementation errors 163–8

      • incomplete information 163–8

      • independence of 14–16, 35

      • ineffectiveness of 20–1, 27–8, 163

      • and inflation 1–3, 16, 21

      • interest rate targets 150

      • and interest rates 13

      • IT development 21–2, 24

      • IT (inflation targeting) 15, 21–2, 24, 33–52, 90, 107, 234

      • lack of macro models 20

      • legal frameworks 14–15

      • measures of transparency in 21

      • monetary policy models 26–8

      • nominal anchor role 266

      • opacity in 19

      • operational frameworks in 17–19

      • policy implementation 165

      • policy implementation/design 19

      • policy intentions 164–5

      • and policy interest rates 118

      • policy rates 18

      • and price stability 16–17

      • and private sector expectations 152

      • profits 13

      • quantitative operations 144

      • reserve money targets 312

      • and shocks 94, 138

      • and supply-side shocks 138

      • transparency 126–9

      • see also MT (money targeting)

    • CEE-BB 118

    • CEE-CB 122, 125, 126

    • CEE-PS 118, 119, 122, 125, 126, 129

      • money target model 129

    • CEE-recursive structure 117–22

    • CEMAC (Communauté Economique et Monitaire de l’Afrique Centrale) region 25, 265

      • central bank 428

      • CFA franc exchange rate 420, 422

      • consumers 426–7

      • domestic inflation 423

      • domestic supply shocks 423–4

      • DSGE model 422, 425–9

      • firms 427

      • fiscal policy 419–22

      • fiscal shocks 424, 431

      • fiscal stance 421, 424, 425, 430

      • government 427–8

      • imported inflation 422–4

      • impulse response functions, and fiscal stance 430

      • impulse response functions, passive/active monetary policy 433

      • impulse response variations 425

      • inflation 430, 433

      • inflation determinants 272–3, 418–34

      • inflation and fiscal stance 420, 421

      • inflation and non-oil fiscal deficits 420

      • international reserves 430, 433

      • labour supply 427

      • market equilibrium conditions 428–9

      • model calibration results 429–33

      • model simulation results 429–33

      • monetary policy 422, 428

      • monetary policy, active/passive 431–2, 433

      • money growth 421, 422, 425, 430, 433

      • non-oil fiscal deficits 430, 433

      • non-oil GDP 420, 422, 430, 433

      • non-oil growth 421, 425

      • non-traded goods 427, 429

      • oil exports 418

      • oil revenues 427–8, 430

      • private absorption 433

      • real exchange rate 430, 433

      • real interest rate 433

      • structural shock assessment 424–5

      • structural shock variance decomposition 424

      • see also BEAC

    • Central African Republic see CEMAC

    • CFA franc zone 2, 25–7

    • Chad see CEMAC

    • Cholesky decompositions 117

    • Christiano, L. 117-22

    • CMA (Common Monetary Area) 25–6

    • commercial banking system, liberalization of 5

    • commodity price shocks 27

    • complete vs. incomplete information 165–7

    • Congo see CEMAC

    • consumption

      • and foreign interest rate shock 249, 250, 252

      • and quasi-permanent terms of trade shock 254

      • and temporary terms of trade shock 253

    • consumption basket/prices model 173–4

    • correlation between inflation and output gap, against income per capita 11

    • crawling-peg-like exchange rate 110

    • currency unions 25–6

    • cyclicality

      • of consumption/investment 82

      • of GDP components 73–8

    D

    • data measurement error 57

    • debt relief, HIPC (highly indebted poor countries) 213

    • demand shocks 319, 334

    • demand side economies 66–7

    • detrending techniques 71–2

    • DFID (Department of International Development) ix

    • disinflation 271–2

    • domestic assets 241

    • domestic demand shock 325

    • domestic shock 12, 71

    • DSGE (dynamic stochastic general

    • equilibrium) model 27, 59, 113–19, 122, 129, 135, 265, 269, 270, 337, 368, 371, 422, 425–9

    E

    • EAC4 see Kenya; Rwanda; Tanzania; Uganda

    • EAMU (East African Monetary Union) 25–6

    • East African Community 59

    • econometrics 59

    • economic fluctuations 61–86

      • characteristics of SSA economies 61–2

      • comovement across GDP components 79, 82, 83

      • country coverage 85–6

      • data 63

      • data sources 85

      • demand components and GDP 67

      • financial sector development 67–9, 69

      • GDP by sectors 66

      • income and growth 64–5

      • income per capita 64

      • key macroeconomic variables deviation 75–6, 78

      • methodological issues 71–2

      • and monetary policy 62

      • overview of SSA economies 64–71

      • real output growth 65

      • real output and inflation rates 81

      • real output volatility/persistence 73

      • real output/trade balance correlations 77

      • trade balance/openness to international trade 68

    • economic structure, and supply-side shocks 138–40

    • Eichenbaum, J.M. 117–22

    • EMs (emerging markets)

      • and FX interventions 233, 234

      • monetary policy targets 234

    • Equatorial Guinea see CEMAC

    • Evans, C.L. 117–22

    • exchange-rate, see also FX (foreign exchange)

    • exchange-rate arrangements 110

    • exchange-rate channel 101

    • exchange-rate classification 17

    • exchange-rate intervention 235–8

    • exchange-rate management 248

      • and foreign exchange 135

      • and IT (inflation targeting) 258

    • exchange-rate shocks 294

    • exchange-rate targeting 235–8

    • external revenue management 13–14

    • external risk shocks 270, 337, 360–3

    • external shocks 62, 69–71, 83–4, 270, 272–3, 294

    F

    • facts on the ground, and MTM 112–13

    • financial depth 107

    • financial depth indicators 341

    • financial openness 109

    • financial programming ix, 3, 143

    • financial sector balance sheets 238

    • first-round effects

      • equilibrium model/definition 177

      • international food price shocks 169–84

    • fiscal dominance 12, 36–8, 143

    • fiscal policy

      • and central banks 13–14, 29, 36–8

      • and external shocks 360

      • and volatility 12–14

    • fiscal pro-cyclicality 12

    • fiscal-based stabilization efforts 3–5

    • fiscal/international reserve policy interaction 210–31

    • fixed exchange rate implementation 250

    • flexible exchange rates 17

    • flexible money targeting 110

    • float exchange rate 110

    • food price shocks 11, 23, 169–84, 269, 289, 294

      • see also international food price shocks

    • food production shock 198

    • food subsistence model

      • calibration 191, 195–6

      • consumers and producers 191–3

      • exogenous monetary policy loosening 196–8

      • food price flexibility 189

      • food production 197, 199

      • food sector productivity 199

      • food share in consumer price index/income per capita 189

      • headline inflation 197, 198, 199

      • headline inflation and output/income per capita 190

      • impulse response analysis 196–8

      • inflation volatility and income 189–90

      • instrument rules 205–7

      • and LAMP (limited asset market participation) 203–7

      • log-linearization 193–5

      • model extension 203–7

      • model of 191–200

      • monetary policy deviation 197

      • monetary policy shock 197, 289

      • natural rate of interest 199

      • negative shock to food production 198

      • nominal interest rate 197

      • non-food inflation 197, 199

      • non-food production 197, 199

      • optimal monetary policy and food subsistence 200–2

      • output 197, 199

      • output gap standard deviation 203

      • related literature 188

      • relative food price 193

      • relative food price change 197, 199

      • second-order 198–200

      • and SLM (segmented labour markets) 203–7

      • structural transformation 193

      • stylized facts on developed/developing countries 189–90

      • subsistence and food share 202–3

      • targeting rules 205–7

      • welfare analysis 200–3

      • welfare loss standard deviation 203

      • welfare losses at alternative food-inflation weights 205

    • food supply shock 206

    • foreign aid 66–7

    • foreign demand shock 323

    • foreign interest rate shock 234, 247–51, 256

    • foreign interest rates autoregression 244

    • FPAS (Forecasting and Policy Analysis System) 28, 375, 396

    • free float exchange rate 110

    • Freedman, C. 34, 35, 51

    • Friedman, M. 148

    • fuel price shocks 269

    • fuel prices 11

    • FX (foreign exchange) 3, 13

      • and aid inflows 211

      • bank arrangements 110

      • and central banks 2–3, 13–14, 16, 24, 238

      • flexibility 14–21, 24

      • floating 11, 17

      • nominal effective indices 44

      • and policy frameworks 16

      • real effective indices 44

      • role of 24

      • and supply shocks 11

      • see also exchange rate

    • FX (foreign exchange) classification 4

    • FX (foreign exchange) intervention literature 237–8

    • FX (foreign exchange) interventions 136

      • and EMs (emerging markets) 233

      • and monetary policy 232–4

      • and reserve accumulation 140–1

    • FX (foreign exchange) management 13–24

    • FX (foreign exchange) markets 12–13

    • FX (foreign exchange) reserves, and CBs (central banks) 238, 240

    G

    • Gabon see CEMAC

    • Garcia-Cicco, J. 84

    • GDP estimates 57–8

    • Ghana

      • Bank of Ghana Act (2002) 400

      • baseline with full credibility 405

      • baseline IT (inflation targeting) 404

      • BoG (Bank of Ghana) 400, 401, 402, 406, 409

      • central bank credibility 272, 401

      • central bank inflation targeting 21

      • central bank legislation 14, 16

      • CPI inflation 400, 401

      • credibility stock 399, 404, 405, 406, 407, 408

      • demand shock 407–8

      • disinflation costs 271–2

      • disinflation model 402

      • disinflation policy challenges 399–400

      • disinflation recommendations 409–10

      • disinflation under imperfect credibility 403–4

      • disinflation under perfect credibility 404–9

      • dynamic responses to shocks 402–10

      • economic (New Keynesian) model used 401, 411–17

      • endogenous credibility 271–2, 402, 413

      • equilibrium values 412, 415

      • excess productive capacity 404

      • exchange rate equation 401, 412, 413, 416

      • expectations process and credibility 413–14

      • IFT (inflation forecast targeting) 398–417

      • inflation 5, 21, 272, 408

      • inflation rate equation 401, 413

      • inflation trends (2007) 400–1

      • interest rate increase delays under imperfect credibility 408–9

      • IT (inflation targeting) 21, 399–400, 411

      • monetary policy loss function 402, 403, 413, 416–17

      • negative supply shock 406

      • nominal interest rate 404, 405, 406, 407, 408

      • non-linear output gap 413, 414–15

      • non-linear Phillips curve 402, 415

      • optimal disinflation, linear versus optimal 410

      • output gap equation 401, 412, 415–16

      • policy credibility 27–8

      • positive demand shock/delayed policy response 408

      • positive supply shock 407

      • real exchange rate 404, 405, 406, 407, 408

      • real GDP growth 404, 405, 406, 407, 408

      • supply shock 405–7

      • sustained growth 5

    • global commodity prices 103

    • global crisis, and monetary policy see Zambia

    • global risk appetite 102–6

    • global risk aversion 102, 105

    • Gopinath, G. 84

    H

    • hard peg exchange rates 17, 25–6

    • HIC (high-income countries) statistics 63–82

    • HIPC (highly indebted poor countries), debt relief 213

    • households balance sheets 238

    • households’ behaviour 241–2

    • HP (Hodrick and Prescott) filter 71, 73

    I

    • IFEM (interbank foreign exchange market) 44, 45

    • IFT (inflation forecast targeting) see Ghana

    • IMF Articles of Agreement, Article VIII 14

    • IMF (International Monetary Fund) ix, 1, 3, 4, 18, 22, 34, 37, 143, 175, 265, 267, 311

    • implementation errors, and monetary policy 163–8

    • impulse responses

      • and complete/incomplete information 167–8

      • and power functions: CEE-CB baseline 122

      • to monetary policy shock 120–1

    • incomplete information, and monetary policy 137–8, 163–8

    • incomplete reserve sterilization, aid inflows 230

    • indicator variables 148

    • inflation

      • and CBs (central banks) 1–3, 16, 21

      • core inflation 23–4, 40

      • and external shocks 272–3

      • and fiscal policy 272–3

      • and foreign interest rate shock 249, 252

      • implications of food subsistence 186–208

      • medium-term target 16–17

      • and monetary policy 139, 266

      • and monetary policy shock 120, 121, 123, 124, 125, 129

      • and money demand 324

      • and output fluctuations 79, 79–81

      • and output gap 11, 129, 149

      • and price puzzle 131

      • and quasi-permanent terms of trade shock 254

      • in SSA 6

      • and temporary terms of trade shock 253

      • see also Uganda

    • inflation rates 65

    • inflation shocks 334

    • inflation sources in Kenya see Kenya

    • inflation stabilization 1, 5, 139–40, 271

    • inflation targeting see IT

    • inflation volatility 12

    • information sets 125

    • instrument rules 205–7

    • interbank rate 94

    • interest rates

      • and CBs (central banks) 13

      • liquidity puzzle 131

      • and monetary policy shock 120, 121

      • and money growth 158

    • interest-rate channel 99

    • interest-rate elasticity 123, 147

    • interest-rate shocks 120, 121, 155, 234

    • interest-rate smoothing 125

    • interest-rate volatility 158

    • international capital markets 70

      • and supply-side shocks 139

    • international food price shocks 169–84

      • and CM (complete markets) 170, 171, 177, 178, 181–4

      • analytical solution 178–82

      • consumption basket/prices 172, 173–4

      • and CPI (consumer price index) 169, 171, 182

      • and CPI gross inflation 174

      • and current account surpluses 171

      • demand functions 173

      • equilibrium conditions 176, 177

      • and FA (financial autarky) 171, 178, 180–4

      • first-round effects 169–84

      • first-round effects, identifying 175–6, 183

      • first-round effects, solving for 180–2

      • first-round equilibrium effects, definition of 177

      • and IM (incomplete markets) 171, 177, 179, 181–4

      • income effects 171

      • inflation/relative prices/first-round effects link 179–80

      • and inter-temporal substitution 170

      • and inter-temporal utility maximization 173

      • log-linear version of model 178–80

      • market clearing conditions 176–7

      • and net foreign asset position 172

      • non-traded sector 174–5

      • representative consumer 172–3

      • steady state 177

      • see also food price shocks

    • international reserve/fiscal policy interaction 210–31

    • international reserves

      • and foreign interest rate shock 249, 250, 252

      • and quasi-permanent terms of trade shock 254

      • and temporary terms of trade shock 253

    • intervention rule 248

    • IRIS toolbox 356

    • IT (inflation targeting) 15, 21–2, 24, 33–52, 90, 107, 110, 234, 310, 399, 404

      • and exchange-rate management 258

    K

    • Kenya

      • actual reserve money 329

      • bank lending channel 99–101

      • broad money targets 303, 325

      • CBK (Central Bank of Kenya) 95, 97, 98, 266, 268, 282–3, 300, 302–3, 310, 311, 325–6

      • central bank policy 302–3

      • central bank rate 282–3, 300, 303, 325–6

      • central bank repo rates 300

      • commodity price shock/inflation 90

      • CPI inflation 288, 301

      • credit targets 303

      • currency levels 103

      • decomposition into shocks 293–7

      • decomposition into trends and gaps 291–3

      • demand shocks 319, 334

      • deviation from reserve money targets 19

      • domestic demand shock 325

      • economic indicators 93

      • economic (New Keynesian) model 305, 319–33

      • excess reserves 107–8

      • exchange rate arrangements 110

      • exchange rate channel 101

      • exchange rate growth 324, 325

      • exchange rate shocks 294

      • financial depth indicators 341

      • financial sector indicators 93

      • food inflation 275, 286, 289–90, 296–7

      • food price deviation 291, 292

      • food prices 280, 283, 284, 294

      • forecasting model 266–9

      • foreign block equations 281–2

      • foreign demand shock 323

      • headline inflation 290, 298

      • hybrid policy rule 321

      • impulse response functions 289, 290

      • inflation 5, 95, 106, 109

      • inflation components 290

      • inflation developments/monetary policy 282–3

      • inflation model 277–302

      • inflation model calibration 283–7

      • inflation model data 287–8, 305

      • inflation and money demand 324

      • inflation shocks 334

      • inflation sources 274–307

      • inflation targeting 90–1, 107

      • interest rate channel 99

      • interest rate framework 145

      • interest rate rule 314–15

      • intermediate cases 317–19

      • IT (inflation targeting) 310

      • Kalman filter/smoother 290, 305–7

      • liquidity shock 316

      • log-real-per capita GDP 72

      • model application 324–33

      • model key features/properties 319–24

      • model simulation 305

      • model solving 305

      • model standard deviations 319, 321

      • monetary policy 314–19

      • monetary policy framework 110

      • monetary policy and inflation 302

      • monetary policy and interest rates 303–4

      • monetary policy interpretation, model based 297–9

      • monetary policy regime 325–6

      • monetary policy rule 281

      • monetary policy shocks 294, 300, 317, 333, 334

      • monetary policy transparency 282

      • monetary policy/inflation developments 282–3

      • monetary transmission mechanism 89–110

      • money aggregates 94, 312

      • money block parameters calibration 320

      • money demand 313–14, 326–7

      • money demand calibration 320

      • money demand growth rate 314

      • money demand shocks 319, 321, 324, 333, 334

      • money growth, filtered/predicted 328

      • money growth target 315–17

      • money and monetary policy regime 325–6

      • money multipliers 328

      • money target adherence 309, 310–11, 330–1

      • money targeting 145–6, 267–8, 304, 309–35

      • money targeting empirical application 324–33

      • money targeting frameworks 311–13

      • money targeting in New Keynesian model 313–24

      • money targets 146, 267–8, 282, 310, 320, 327–34

      • money velocity 320, 321, 328

      • NBK (National Bank of Kenya) 110

      • nominal depreciation 290, 299

      • nominal interest rate 290

      • non-food inflation 275, 286, 289–90, 295, 296

      • non-food prices 280, 284

      • output gap 290, 293, 294, 297, 301

      • output growth 327

      • output rates 279, 284

      • overnight interbank rate 326

      • Phillips curves 280

      • policy analysis model 266–9

      • policy rate baseline calibration 301

      • policy rate and domestic demand shock 325

      • policy rate and money demand 324

      • policy rate, no monetary policy shocks 301

      • policy stance and target misses 331

      • price indices 277–8

      • real exchange rates 291

      • real food prices 291

      • real interest rates 279, 284, 293, 301

      • real monetary conditions index 290

      • real money growth 327

      • relative prices 277–8

      • relative prices trends 278–9, 284

      • reserve money deviations from target 332

      • reserve money target misses 331, 334

      • reserve money targets 146, 282, 315, 325, 329

      • sectoral inflation rates 293

      • shock decomposition 293–7, 307

      • short-term interest rates 287

      • structure of the economy 92–4

      • supply-side shocks 139, 300

      • Taylor rule 310, 312, 317–18, 320, 326

      • UIP (uncovered interest parity) exchange rate 281, 285, 313

      • VECM estimates 330

      • VIX exchange rates 104

    L

    • labour market equilibrium 244

    • LAMP (limited asset market participation) 203–7

    • Laxton, Douglas ix

    • legal frameworks, monetary policy 14–15

    • Ley, E. 58

    • Li, B. 131

    • LIC-specific features 136

    • liquidity puzzle, interest rates 131

    • liquidity shocks 324

    • LLMIC (lower-middle-income/low-income countries) statistics 63–82

    • log-linearization 245, 246–7

    M

    • macro models, in central banks 20

    • macroeconomic data, lack of 57

    • macroeconomic model, Rwanda see Rwanda

    • macroeconomic stability 5

    • macroeconomic variables, Uganda 214

    • macroeconomic volatility 10–14, 61–2

    • MFPED (Ministry of Finance, Planning and Economic Development) 37–8

    • Misch, F. 58

    • Mishra, P. 122–5, 131

    • model solution, complete/incomplete information 166–7

    • modelling strategy 20–1, 26–8, 62

    • modernization, of monetary policy in SSA 21–4

    • monetary aggregates 94, 143–4, 160–1, 267, 271

    • monetary frameworks, and policy 135

    • monetary policy

      • first round effects model 175–6

      • and FX (foreign exchange) interventions 232

      • and global crisis see Zambia

      • implications of food subsistence 186–208

      • and incomplete information 137–8

      • and inflation 139

      • and interest rates 144

      • modelling sterilized interventions and balance sheet effects of 232–59

      • and supply shock 104

      • targets in EM (emerging markets) 234

    • monetary policy contraction 100

    • monetary policy shocks 10–12, 57, 120–1, 123, 124, 125, 128, 197, 289, 294, 300, 317, 333, 334

    • monetary policy in SSA

      • brief history of 2–5

      • challenges for 5–14

      • current state of 14–21

      • de jure frameworks 15, 16

      • frameworks in SSA 15, 16

      • modernization of 21–4

      • monetary transmission mechanism 8–10

      • narrative approach to 89

      • pegs 15

      • pressures on 12–13

      • signal extraction problem 153–5

      • tightening 89–90

    • money aggregates 94, 269, 312

    • money demand 268–9, 320

    • money demand shocks 18, 127, 128, 319, 321, 324, 334

    • money growth 151

    • and interest rates 158

    • money supply shocks 128

    • money targeting see MT

    • money targets 146, 267–8, 282, 320, 327–34

    • and monetary policy see Kenya

    • Montiel, P. 122–5, 131, 136

    • Mozambique

      • central banks and foreign exchange 13

      • deviation from reserve money targets 19

      • monetary targeting 145–6

      • reserve money targets 146

    • MPC (Monetary Policy Committee) 39

    • MT (money targeting) 15, 18, 27, 33–6, 93–4, 107, 110, 127, 137–8, 145–6, 267–8, 304, 309–35

      • flexibility of 145

      • frameworks 311–13

      • and IMF 143

      • in Kenya see Kenya

      • LIC information gaps 147–8

      • models used 149–56, 164–5

      • monetary policy model 150

      • monetary reaction function with money 146–9

      • MT frameworks 311–13

      • noisy measure of economic activity 159–60

      • noisy measure of relevant interest rate 157–9

      • in practice 145–6

      • reserve money targets deviation characteristics 146

      • role in monetary policy framework 155–60

      • in Rwanda see Rwanda

      • signal extraction 147, 150–2

      • solution under complete information model 151

      • solution under incomplete information model 151–2

      • in Tanzania see Tanzania

      • target adherence 137, 147

      • in Uganda see Uganda

      • in Zambia see Zambia

    • MTM (monetary transmission mechanism) 8–10, 48, 89–110, 112–31

      • and CEE-recursive structure 117–22

      • and central bank transparency 126–9

      • and DSGEs 113–19, 122, 129

      • environment for monetary policy 92–4

      • event study 94–102

      • financial sector 92–4

      • global risk 102–6

      • interest rate channel 99

      • interpretations of 113

      • in LICs 112–13, 118, 129–31

      • model-based impulse responses 119

      • structure of the economy 92–4

      • supply shock 102–6

      • and SVAR 112–14, 125, 128

      • and VAR 112–14, 118, 119–21, 122, 129–31

      • weak transmission 122, 123, 125

    N

    • National Bank of Rwanda 98

    • natural resource rents 66

    • NBK (National Bank of Kenya) 110

    • NBR (National Bank of Rwanda) 110, 375, 377, 379, 396, 397

    • negative food supply shock 206

    • Nigeria

      • inflation 5

      • sustained growth 5

    • nominal exchange rate, and foreign interest rate shock 249, 252

    • nominal money growth 150

    • non-traded producers 242–3

    • non-traded sector model 174–5

    • operational frameworks, CBs (central banks) 17–19

    • Opolot, J. 48

    • Otker-Robe, I. 34, 35, 51

    • output

      • and quasi-permanent terms of trade shock 254

      • and temporary terms of trade shock 253

    • output gap

      • complete/incomplete information 168

      • and inflation 11, 129, 149

      • and monetary policy shock 120, 121, 123, 124, 126, 129

      • and money demand 324

      • and power function 123, 124, 125, 129

    • output gap models 149, 293

    • output gap shocks 293

    • output growth 151

    • output shocks 155

    • output volatility 72–3

    P

    • Pedroni, P. 131

    • policy framework modernization 135

    • policy rate 94, 97–9, 269, 270

      • and foreign interest rate shock 249, 252

      • and money demand 324

      • and quasi-permanent terms of trade shock 254

      • and temporary terms of trade shock 253

    • policy shock 83–4

    • Poole, W. 148

    • Portillo, R. 170, 171, 184

    • power functions

      • for inflation 123, 124, 125, 129

      • for monetary policy shock 120

      • and output gap 123, 124, 125, 129

    • Prescott, E.C. 61

    • price puzzle, and inflation 131

    • price setting 27

    • price stability, and CBs (central banks) 16–17

    • productivity shocks, in food sector 205

    Q

    • QPM (quarterly projection model) 39

    • quantity theory MV=PQ 143

    • quasi-permanent terms of trade shock 254, 256, 258

    R

    • R&R (Romer and Romer) approach 89, 90

    • Rand Monetary Area 2, 25

    • rational expectations models 271

    • reaction function 27

    • real effect exchange rate, and monetary policy shock 120, 121

    • real exchange rate

      • and foreign interest rate shock 250

      • and quasi-permanent terms of trade shock 254

      • and temporary terms of trade shock 253

    • real exports 74

    • real GDP 244

    • real interest rates 279

    • relative volatility 167

    • remittances 66–7

    • representative consumer model 172–3

    • reserve accumulation, and FX intervention policies 140–1

    • reserve losses 258

    • reserve money targets

      • CBs (central banks) 312

      • deviations from 19

    • reserve sterilization, aid inflows 230

    • RMT (reserve money targeting) 17–19, 22

    • Rwanda

      • aggregate demand 380

      • aggregate supply 380–1

      • bank lending channel 99–101

      • capital mobility 382

      • commodity price shock/inflation 90

      • core inflation 380, 386, 387, 388

      • core inflation equation 385

      • core inflation shock decomposition 391

      • core inflation variable 395

      • CPI 378

      • data series 384

      • debt relief 377

      • demand shocks 386

      • deviation from reserve money targets 19

      • economic indicators 93

      • economic model 376, 379–83

      • economic model calibration 376, 383–8

      • economic model data 383–8

      • economic model data filtration 376, 388–96

      • economic model forecast 393–6

      • economic (New Keynesian) model 376–96

      • economic overview 376–9

      • excess reserves 107–8

      • exchange rate 376, 378, 379, 381, 382

      • exchange rate arrangements 110

      • exchange rate determination 381–2

      • exchange rate rule 385

      • financial depth indicators 341

      • financial openness 107

      • financial sector indicators 93

      • food inflation 378, 381, 386, 387, 388

      • food inflation equation 385

      • food inflation shock decomposition 392

      • food inflation variable 395

      • food price shock 269

      • forecasting model 266–9, 393–6

      • foreign aid 376

      • foreign block 383, 385

      • fuel inflation 378

      • fuel price shocks 269

      • headline inflation equation 380, 381, 385

      • headline inflation shock decomposition 391

      • headline inflation variable 395

      • impulse response functions 386, 387, 388

      • in-sample forecast 393–4

      • inflation 106

      • inflation targeting 90–1, 377, 382

      • interest rate 386, 387, 388

      • interest rate channel 99

      • interest rate policy rule 382

      • interest rate shock 388

      • KRR (Key Repo Rate) 377, 379

      • long-run trends 382–3

      • long-run values 385

      • monetary policy framework 110

      • monetary policy implementation 379

      • monetary policy regime 376–9

      • monetary policy rule 385

      • monetary policy tightening 89, 97

      • monetary targeting 145–6

      • monetary transmission mechanism 48–9, 89–110

      • money aggregates 269

      • money targeting 93–4

      • NBR (National Bank of Rwanda) 110, 375, 377, 379, 396, 397

      • nominal exchange rate (Franc/USD) variable 396

      • nominal interest rate variable 382, 396

      • oil inflation 377, 386, 387, 388

      • oil inflation equation 385

      • oil inflation shock decomposition 392

      • out-of-sample forecast 394–6

      • output gap 380, 386, 387, 388, 390

      • output gap equation 385

      • output gap shock decomposition 393

      • output growth 396

      • output trend 390

      • policy analysis model 266–9

      • policy rate 269

      • real exchange rate gap 386, 387, 388, 389

      • real exchange rate trend 381, 389

      • reserve money targets 146

      • selected economic indicators 340, 378

      • semi-structural macroeconomic model 375–97

      • steady state values 385

      • structure of the economy 92–4

      • trends 385

      • UIP 375, 382

      • VIX exchange rates 104

      • world food price variable 394

      • world oil price variable 394

    S

    • seigniorage 13

    • semi-structural gap model 267

    • semi-structural macroeconomic model, Rwanda see Rwanda

    • shocks as main drivers 62, 83–4

    • SLM (segmented labour markets) 203–7

    • soft peg exchange rates 17

    • sovereign assets and liabilities 70, 71

    • Spilimbergo, A. 124, 131

    • sterilization operations 13, 44

    • sterilized aid inflows 230

    • sterilized interventions modelling

      • balance of payments 244

      • balance sheet modelling 258

      • central bank behaviour 239–40

      • domestic assets 241

      • exchange rate targeting 235–8

      • exchange rate targeting literature 235–6

      • exporters 243

      • financial sector behaviour 240–1

      • foreign interest rate shock 247–51

      • FX (foreign exchange) intervention literature 237–8

      • households’ behaviour 241–2

      • importers 243

      • intervention limits 256–8

      • intervention rule 248

      • labour market equilibrium 244

      • log-linearization 245, 246–7

      • model calibration 245, 246–7

      • model description 238–44

      • monetary policy definition 235

      • non-traded producers 242–3

      • real GDP 244

      • rest of the world 244

      • second-order approximation to utility 259

      • sectoral balance sheets 238

      • simulations 247–58

      • steady state 245

      • trade terms shock 251–5

      • welfare analysis 255–6

    • sticky prices 228

    • Stock, J.H. 73

    • subsistence see food subsistence

    • supply shocks 10–12, 23–4, 27, 62, 83, 102–6, 108, 128, 135, 139, 266, 300, 319

      • and international capital market access 139

      • second-round spillovers 138

      • and structure of the economy 138–40

    • SVAR, and MTM (monetary transmission mechanism) 112–14, 125, 128

    T

    • Tanzania

      • bank lending channel 99–101

      • BOT (Bank of Tanzania) 110

      • central banks and foreign exchange 13

      • commodity price shock/inflation 90

      • deviation from reserve money targets 19

      • economic indicators 93

      • emerging/frontier markets real exchange rates 103

      • excess reserves 107–8

      • exchange rate arrangements 110

      • exchange rate channel 101

      • financial depth indicators 341

      • financial openness 107

      • financial sector indicators 93

      • inflation 5, 95, 106

      • interest rate channel 99

      • monetary policy framework 110

      • monetary policy tightening 89, 97, 98

      • monetary targeting 145–6

      • monetary transmission mechanism 48–9, 89–110

      • money targeting 93–4, 107

      • output 101–2

      • reserve money targets 146

      • selected economic indicators 340

      • structure of the economy 92–4

      • VIX exchange rates 104

    • target adherence 309

    • targeting rules 205–7

    • Taylor rule/principle 41, 116, 127, 148, 248, 303–4

    • temporary terms of trade shock 253, 256

    • terms of trade shocks 253, 337, 357, 365, 367

    • trade balance, and foreign interest rate shock 249, 250, 252

    U

    • UEMOA 25

    • Uganda

      • aid inflows 210, 213–15, 223–30

      • average lending rate 47

      • bank lending channel 99–101

      • BOU (Bank of Uganda) 33–52, 98, 110

      • broad money 34

      • CBR (Central Bank Rate) 39, 40, 42, 46–8

      • central bank communications strategy 45–6, 52

      • central bank independence 35

      • central banks and foreign exchange 13

      • challenges to monetary policy implementation 42–3

      • commodity price shock/inflation 90

      • economic indicators 93

      • excess reserves 107–8

      • exchange rate arrangements 110

      • exchange rate channel 101

      • exchange rate effective indices 44

      • exchange rate policy 33, 43–5

      • exchange rate volatility 43–4, 214

      • financial depth indicators 341

      • financial sector indicators 93

      • fiscal dominance 36–8

      • fiscal/monetary policies separation 36–8, 52

      • government borrowing from BOU 37–8

      • Gross Nominal Public Debt, and GDP 36

      • inflation 5, 39–41, 95, 106, 109

      • inflation forecasts 39, 40, 51

      • inflation targeting 21, 33–52, 90, 91, 107

      • interbank foreign exchange 44

      • interbank lending 41

      • interbank rate 47

      • interest rate channel 99

      • interest rate transmission mechanism 46–8

      • interest rates 41

      • macroeconomic variables 214

      • market interest rates and macroeconomic variables 48–9

      • MFPED 37-8

      • model calibration 228, 230

      • monetary policy formulation 39–41, 43–5

      • monetary policy framework 110

      • monetary policy implementation 41–3, 48, 52, 89

      • monetary policy instruments 42–3, 51

      • monetary policy in IT framework 46–50

      • monetary policy tightening 89, 97, 98

      • monetary transmission mechanism 48–9, 89–110

      • money aggregates 94

      • MPC (Monetary Policy Committee) 36, 40, 45–6

      • MPS (Monetary Policy Statement) 36, 40, 45–6

      • MT (money targeting) 33–6

      • public debt 36–7

      • public spending 214

      • repos/reverse repos 41-2

      • selected economic indicators 340

      • sterilized intervention 44–5

      • structural liquidity 42–3

      • structure of the economy 92–4

      • VIX exchange rates 104

    • UIP (uncovered interest parity) 236, 240, 281, 285, 375, 382

    • UMIC (upper-middle-income countries) statistics 63–82

    • UN Millennium Development Goals 213

    V

    • VAR model/evidence 26, 39, 57, 58, 89, 109, 272, 290–1, 424, 425

      • and MTM (monetary transmission mechanism) 112–14, 118, 119–21, 122, 129–31

    • velocity of broad money (M2) 34

    • VIX 104

    • volatility

      • of consumption/investment 82, 84

      • of GDP components 73–8

      • and growth/inflation performance 82

      • of interest rates 94

      • and monetary policy 266

      • of real exchange rate 83

    • Volker disinflation 59

    W

    • wage setting 27

    • Watson, M.W. 73

    Z

    • Zambia

      • aggregate demand 338, 356

      • arbitrage conditions 346

      • balance of payments model 349

      • Bank of Zambia 340, 372–3

      • banking sector model 346–8, 351

      • banking sector shock 362–3, 372

      • banking system 270, 338

      • banks and risk 337–8, 347, 355

      • baseline results 356–60

      • and capital flow 12

      • commodity terms of trade index 342

      • core model structure 342–9

      • CPI inflation 353, 354, 357, 365, 367

      • credit to private sector 353, 354, 357, 362, 365, 367

      • credit to public sector 357, 362, 365, 367

      • crisis replication 355–6

      • current account GDP 342, 357, 365, 367

      • domestic firms 345

      • DSGE models 337, 368, 371

      • excess liquidity 338, 348, 357, 365, 367, 369

      • exports 270, 339

      • external risk shocks 270, 337–8, 360–3

      • financial depth indicators 341

      • financial variables 337, 372–3

      • fiscal policy 336, 360

      • food price inflation 369, 370

      • GDP composition by sector 339–40

      • global financial crisis impact/response 270–1, 336–73

      • government spending/GDP 357, 365, 367

      • high-powered money growth 357, 365, 367

      • households model 343–4

      • impulse response functions 353, 354

      • imputed quarterly real GDP 359

      • inflation 5, 271, 361, 366

      • initial monetary response to global crisis 369–71

      • lending rates 337, 353, 354, 357, 361, 363, 365, 367

      • macroeconomic variables 337, 372–3

      • model blocks 343

      • model calibration 350–3

      • model functional forms 350–3

      • monetary policy and global crisis 270–1, 336–73

      • monetary policy regime 270–1

      • monetary policy responses 366

      • monetary variables and structural shocks 363, 364

      • money multiplier 337

      • money policy response role 363–6

      • money targeting 20

      • money targets 370

      • nominal depreciation 337, 338, 366

      • nominal exchange rate 353, 354, 356, 357, 361, 365, 367, 369

      • nominal rigidities role 368–9

      • non-food price inflation 369

      • policy rate changes 270

      • private absorption 357, 365, 367, 368

      • private spending 366

      • real depreciation 337

      • real exchange rate 342

      • real GDP growth 353, 354, 357, 359, 365, 367

      • real imports 353, 354, 357, 362, 365, 367

      • real money demand 353, 354

      • relationship with rest of world 349

      • reserve money growth 348

      • reserve money targets 370, 371

      • revenues/GDP 357, 365, 367

      • selected economic indicators 340

      • shock decomposition 360–3

      • shocks overview 353–5

      • steady state ratios 351

      • structural shocks 361–4

      • supply shocks 358

      • T-bill rate 337, 353, 354, 356, 357, 363, 365, 367, 369

      • terms of trade shocks 337–8, 350, 357, 365, 367

      • Zambian economy and global financial crisis 339–42

    • Zanna, L.F. 170, 171, 184

    • Zimbabwe, central bank independence 16

      You are not logged in and do not have access to this content. Please login or, to subscribe to IMF eLibrary, please click here

      Other Resources Citing This Publication