Advertisement

Economic Change and Restructuring

, Volume 46, Issue 2, pp 219–253 | Cite as

A VECM evaluation of monetary transmission in Uzbekistan

  • Frank Hespeler
Article

Abstract

This paper presents a VAR/VECM analysis of the monetary transmission process in Uzbekistan for the available data from 2000 to 2009. The general findings obtained support the hypothesis that the interest rate channel in Uzbekistan is relatively weak. Monetary transmission via the exchange rate channel seems to be stronger, even if the form of the channel remains quite ambiguous or rather chaotic. Partially this chaos can be blamed on the contradiction between existing restrictions on capital mobility and the dual objectives of a development of the financial sector and provision of macroeconomic stability. On an analytical level this paper suggests the use of a specific methodology for the future evaluation of monetary policy in Uzbekistan. This is especially important, because in future improved and/or more extensive data might alter some of the results obtained so far.

Keywords

Monetary transmission Monetary policy VAR/VECM models Transition country 

Notes

Acknowledgments

The author thanks the Institute of Forecasting and Macroeconomic Research (IFMR) for the provision of some of the Uzbek time series data. For the data obtained from alternative Uzbek institutions IFMR provided the contacts to these institutions. The author also acknowledges financial support by the Federal Ministry for Economic Cooperation and Development of the Federal Republic of Germany within its program CIM. In addition the author thanks two anonymous referees for their proposals for improvements of the paper.

References

  1. Akimov A, Dollery B (2007) An evaluation of Kazakhstan’s financial reforms in 1993–2002. Working Paper Series 2007-03, University of New EnglandGoogle Scholar
  2. Akimov A, Dollery B (2009) The Uzbek approach to financial system development: an analysis of achievements and failures. Discussion Paper Series 2009-05, Griffith Business SchoolGoogle Scholar
  3. Alturki F, Vtyurina S (2010) Inflation in Tajikistan: forecasting analysis and monetary policy challenges. IMF Working Paper Series 10/17, International Monetary FundGoogle Scholar
  4. Aslanidi O (2007) The optimal monetary policy and the channels of monetary transmission mechanism in CIS-7 countries: the case of Georgia. Discussion Paper Series 171, Center for Economic Research and Graduate Education, Charles UniversityGoogle Scholar
  5. Bilan O, Kryshko M (2008) Does monetary policy transmission in Ukraine go through the interest rate? EERC Working Paper Series 476Google Scholar
  6. Boswijk HP, Doornik JA (1999) Distribution approximations for cointegration tests with stationary exogenous regressors. Discussion Paper TI 99-013/4, Tinbergen InstituteGoogle Scholar
  7. Broome A (2006) The last frontier? The IMF and the diffusion of global monetary norms in Central Asia. Australasian political studies association conference papers, The Australian National UniversityGoogle Scholar
  8. Buch C (1998) Russian monetary policy: assessing the track record. Econ Syst 22(2):105–145CrossRefGoogle Scholar
  9. Dabla-Norris E, Floerkemeier H (2006) Transmission mechanisms of monetary policy in Armenia: evidence from VAR analysis. IMF Working Paper Series 06/248, International Monetary FundGoogle Scholar
  10. Damdinsuren B, Doojav GO, Lyziak T (2008) Small inflation model of Mongolia. Mimeo, Bank of MongoliaGoogle Scholar
  11. De Souza LV (2008) Further estimations of the bank lending channel in the Russian Federation. Mimeo, European CommissionGoogle Scholar
  12. Dreger C, Fidrmuc J (2009) Drivers of exchange rate dynamics in selected CIS countries: evidence from a FAVAR analysis. Discussion Papers 867, DIW BerlinGoogle Scholar
  13. Egert B, MacDonald R (2006) Monetary transmission mechanism in transition economies: surveying the surveyable. CESIFO Working Paper Series 1739, CESIFOGoogle Scholar
  14. Gemayel ER, Grigorian DA (2005) How tight is too tight? A look at welfare implications of distortionary policies in Uzbekistan. IMF Working Paper Series 05/239, International Monetary FundGoogle Scholar
  15. Hung LV, Pfau WD (2008) VAR analysis of the monetary transmission mechanism in Vietnam. Working Paper Series 081, Vietnam Development ForumGoogle Scholar
  16. IMF (2008) Republic of Uzbekistan, Staff Report for the 2008 Article IV Consultation. IMF Country Report 08/235, International Monetary FundGoogle Scholar
  17. Isakova A (2008) Monetary policy efficiency in the economies of Central Asia. Czech J Econ Finance 58(11–12):525–553Google Scholar
  18. Luetkepohl H (2005) New introduction to multiple times series analysis. Springer, BerlinGoogle Scholar
  19. Ng S, Perron P (2001) Lag length selection and the construction of unit root tests with good size and power. Econometrica 69(9):1519–1554CrossRefGoogle Scholar
  20. Nikolic M (2000) Money growth-inflation relationship in postcommunist Russia. J Comp Econ 28(1):108–133CrossRefGoogle Scholar
  21. Pomfret R (2009) EUCAM: Eu Central Asia Monitoring: central Asia and the global economic crisis. Policy Briefings 2009-07, Center for European Policy StudiesGoogle Scholar
  22. Ranaweera T (2003) Market disequilibria and inflation in Uzbekistan: 1994–2000. Policy Research Working Paper 3144, World BankGoogle Scholar
  23. Rosenberg CB, de Zeeuw M (2000) Welfare effects of Uzbekistan’s foreign exchange regime. IMF Working Paper Series 00/61, International Monetary FundGoogle Scholar
  24. Siliverstovs B, Bilan O (2005) Modeling inflation dynamics in transition countries: the case of Ukraine. Discussion Papers 476, DIW BerlinGoogle Scholar
  25. Starr MA (2004) Does money matter in the CIS? Effects of monetary policy on output and prices. Working Paper Series 2004-09, American University WashingtonGoogle Scholar
  26. Urmunova N, Haldarov Z (2011) Assessing the Mccallum rule as a monetary policy in Uzbekistan. Mimeo, Institute for Forecasting and Macroeconomic ResearchGoogle Scholar
  27. Zarinah Y (2009) An econometric appraisal of monetary indicators on Malaysian sectors. Mimeo, Department of Economics, Faculty of Economics and Administration, Universiti Malaya mimeoGoogle Scholar

Copyright information

© Springer Science+Business Media New York 2012

Authors and Affiliations

  1. 1.Department of Monetary EconomicsInstitute of Forecasting and Macroeconomic ResearchTashkentUzbekistan

Personalised recommendations