Title: The asymmetric effects of Tunisian monetary policy: a threshold vector autoregressive approach

Authors: Nahed Zghidi

Addresses: Faculty of Economic Sciences and Management of Sfax, Department of Economics, URED, PO Box 1088, Sfax 3018, Tunisia

Abstract: This paper deals with the presence of asymmetric effects of monetary policy on real activity in Tunisia, using a threshold vector autoregressive model. Two kinds of asymmetry are investigated: asymmetry related to the phase of the business cycle and asymmetry related to the direction of the monetary policy action. The generalised impulse response functions from the estimated non-linear model prove that monetary shocks have asymmetric effects on the economic aggregates, depending on different initial states of the economy. Little evidence is found of any asymmetry related to the direction of the policy action.

Keywords: VAR; vector autoregression; asymmetry; monetary policies; asymmetric effects; Tunisia; threshold vector autoregressive models; business cycles; generalised functions; impulse response functions; nonlinear models; monetary shocks; economic aggregates; economy; policy action; economics; business research.

DOI: 10.1504/IJEBR.2012.047417

International Journal of Economics and Business Research, 2012 Vol.4 No.4, pp.363 - 373

Published online: 25 Nov 2014 *

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