Inflation Dynamics in Tunisia: a Smooth Transition Autoregressive Approach

Wissem Boukraine

Economic Research Guardian, 2020, vol. 10, issue 2, 122-143

Abstract: The aim of this paper is to assess the effectiveness of the Tunisian monetary reforms. We use a smooth transition autoregressive model STAR in order to analyze inflation dynamics in Tunisia, based on the evolutions of its persistence and its volatility, on monthly data from 1990 to 2020. We distinguish three sub-periods based on two monetary reforms: the declaration of price stability as the central bank first priority in 2006 and the adoption of a proactive monetary policy aimed at anticipating inflation in 2011. The main findings suggest that the ESTAR specification describes better the behavior of inflation, it also show changes in the persistence and important shifts in volatility reinforcing the effectiveness of the monetary reforms despites political instability and the democratic transition in Tunisia. But still, more reforms are required for a fully commitment to a specific inflation target, as it will reinforce the Tunisian central bank credibility.

Keywords: Inflation; persistence; volatility; Smooth Transition Autoregressive; Tunisia (search for similar items in EconPapers)
JEL-codes: C24 E31 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:wei:journl:v:10:y:2020:i:2:p:122-143

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