Stabilization Effects of Narrative-based Monetary Policy in Jamaica

Edward Ghartey () and Tom Amonde

International Economic Journal, 2013, vol. 27, issue 3, 463-486

Abstract: The study constructs a monetary policy indicator (MPI) from monetary policy documents and the actions of the Bank of Jamaica and Ministry of Finance and Economic Planning, and uses it to estimate four variants of an analytical narrative-vector error correction model (AN-VECM) with cointegration as the identifying restriction. In AN-VECMs 1 and 2, the cointegration is estimated in level form with respective short-term interest rate and the MPI as regressands. The first difference forms of respective models are re-estimated in AN-VECMs 3 and 4. The results are mixed, with AN-VECM 1 yielding the least results. However, in all cases, the impulse response functions indicate that the MPI yields slightly superior results in both AN-VECMs 2 and 4. A positive shock in the MPI produces price and exchange rate results which are consistent with a priori expectations from economic theory, and mixed liquidity effect and real output results. Thus, the MPI provides an important policy tool alternative for policymakers in small open economies to consider in the implementation of monetary policy.

Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/10168737.2012.676059 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:intecj:v:27:y:2013:i:3:p:463-486

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RIEJ20

DOI: 10.1080/10168737.2012.676059

Access Statistics for this article

International Economic Journal is currently edited by Jaymin Lee Editor

More articles in International Economic Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().