dc.contributor.author | Benti, Temesgen | |
dc.coverage.spatial | Ethiopia | en |
dc.date.accessioned | 2015-08-28T09:40:21Z | |
dc.date.available | 2015-08-28T09:40:21Z | |
dc.date.issued | 2014 | |
dc.identifier.citation | Benti, T. (2014) Impacts of Monetary Policy Shocks on the Ethiopian Macro Economy: Autoregressive Approach. Jimma University 77. Jimma: Jimma University. | en |
dc.identifier.uri | https://opendocs.ids.ac.uk/opendocs/handle/20.500.12413/6910 | |
dc.description.abstract | This thesis analyses the impacts of monetary policy shocks on Ethiopian macro economy, and the
channels through which these shocks will be transmitted to the overall economy using annual
data running from 1981/82-201 1/12.In order to achieve this objective; unit roots (ADF and PP),
co integration (Johansen procedure), Vector Autoregressive (VAR), Error correction model and
Granger Causality (Wald Coefficient restriction test, X2and F'statistics) are carried out. The
results of the unit root tests show that the series of interest are stationary in first differences.
Cointegretion and causality between the variables are tested and compared using tri-variate
vector Autoregressive model (VAR). The results of co-integration tests on the tri-variate models
show that two Granger-causality alternative models (VAR in first difference and Error
Correction Models) fit for this study. In both types of models, Granger-causality (unidirectional
or bidirectional causations) between monetary policy instrument on one side and price and
economic growth on the other side are tested using Chi - square and F - statistics from Wald
coefficient restriction test. The results of cointegration test shows that there is a long run
equilibrium relation between the variables. The error correction model and the Wald Granger
causality indicates the existence of short run bidirectional causality between money supply and
price level, and unidirectional causation running from output to price level that shows that price
level is a monetary phenomenon in the short run.Based on the short run causation results, all the
foregoing discussion leads to put exchange rate as an important channel of monetary policy
instrument to be considered as a supplementary, through which shocks in monetary policy. | en |
dc.description.sponsorship | Jimma University | en |
dc.language.iso | en | en |
dc.publisher | Jimma University | en |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/ | en |
dc.subject | Economic Development | en |
dc.title | Impacts of Monetary Policy Shocks on the Ethiopian Macro Economy: Autoregressive Approach | en |
dc.type | Thesis | en |
dc.rights.holder | Jimma University | en |