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Asymmetric effects of monetary policy: A Markov-Switching SVAR approach
This paper examines the effects of monetary policy on macroeconomic variables in Botswana as a developing small macro-economy using the Markov-switching structural vector autoregressive (MS-SVAR) framework, utilising time-series data from 1994: Q1 to 2019: Q4. The study makes use of bank rate (inter...
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| Format: | Thesis |
| Language: | English |
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School of Economics
2022
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| _version_ | 1867614158764113920 |
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| access_status_str | Open Access |
| author | Gaopatwe, Molebogeng Patience |
| author2 | Kotze, Kevin |
| author_browse | Gaopatwe, Molebogeng Patience Kotze, Kevin |
| author_facet | Kotze, Kevin Gaopatwe, Molebogeng Patience |
| author_sort | Gaopatwe, Molebogeng Patience |
| collection | Thesis |
| description | This paper examines the effects of monetary policy on macroeconomic variables in Botswana as a developing small macro-economy using the Markov-switching structural vector autoregressive (MS-SVAR) framework, utilising time-series data from 1994: Q1 to 2019: Q4. The study makes use of bank rate (interest rate), inflation and output gap. The first model is a structural vector autoregressive (VAR) model that takes the form employed by Rudebusch and Svensson (1999), whilst the second one makes use of the same structure but includes Markov switching in the policy rule (i.e., Markov switching SVAR). Regime-switching models can effectively describe the data generating process when considering both in-sample and out of sample evaluations compared to the linear models, which submerge the structural changes that have occurred in the economy over the years. The results from the SVAR shows that monetary policy has a symmetric impact on the output gap and inflation. Therefore, it can be noted that non-linearities in the structural model do not necessarily imply asymmetric effects of shocks. Furthermore, the MS-SVAR shows that the Central Bank of Botswana responds differently to policy shocks in different regimes. This underscores the importance of regime-switching features in providing a more accurate description of the economy. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/35734 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:47:36.170Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2022 |
| publishDateRange | 2022 |
| publishDateSort | 2022 |
| publisher | School of Economics |
| publisherStr | School of Economics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/35734 Asymmetric effects of monetary policy: A Markov-Switching SVAR approach Gaopatwe, Molebogeng Patience Kotze, Kevin Monetary policy small macro-economy Markov switching structural vector autoregressive model (MS-SVAR). This paper examines the effects of monetary policy on macroeconomic variables in Botswana as a developing small macro-economy using the Markov-switching structural vector autoregressive (MS-SVAR) framework, utilising time-series data from 1994: Q1 to 2019: Q4. The study makes use of bank rate (interest rate), inflation and output gap. The first model is a structural vector autoregressive (VAR) model that takes the form employed by Rudebusch and Svensson (1999), whilst the second one makes use of the same structure but includes Markov switching in the policy rule (i.e., Markov switching SVAR). Regime-switching models can effectively describe the data generating process when considering both in-sample and out of sample evaluations compared to the linear models, which submerge the structural changes that have occurred in the economy over the years. The results from the SVAR shows that monetary policy has a symmetric impact on the output gap and inflation. Therefore, it can be noted that non-linearities in the structural model do not necessarily imply asymmetric effects of shocks. Furthermore, the MS-SVAR shows that the Central Bank of Botswana responds differently to policy shocks in different regimes. This underscores the importance of regime-switching features in providing a more accurate description of the economy. 2022-02-18T08:30:45Z 2022-02-18T08:30:45Z 2021 2022-02-14T10:34:45Z Master Thesis Masters MCom http://hdl.handle.net/11427/35734 eng application/pdf School of Economics Faculty of Commerce |
| spellingShingle | Monetary policy small macro-economy Markov switching structural vector autoregressive model (MS-SVAR). Gaopatwe, Molebogeng Patience Asymmetric effects of monetary policy: A Markov-Switching SVAR approach |
| thesis_degree_str | Master's |
| title | Asymmetric effects of monetary policy: A Markov-Switching SVAR approach |
| title_full | Asymmetric effects of monetary policy: A Markov-Switching SVAR approach |
| title_fullStr | Asymmetric effects of monetary policy: A Markov-Switching SVAR approach |
| title_full_unstemmed | Asymmetric effects of monetary policy: A Markov-Switching SVAR approach |
| title_short | Asymmetric effects of monetary policy: A Markov-Switching SVAR approach |
| title_sort | asymmetric effects of monetary policy a markov switching svar approach |
| topic | Monetary policy small macro-economy Markov switching structural vector autoregressive model (MS-SVAR). |
| url | http://hdl.handle.net/11427/35734 |
| work_keys_str_mv | AT gaopatwemolebogengpatience asymmetriceffectsofmonetarypolicyamarkovswitchingsvarapproach |