[ Règle de Taylor et conduite de la politique monétaire en Tunisie ]
Volume 3, Issue 1, May 2013, Pages 271–283
Rima Lajnaf1
1 Département des Sciences Economiques, Faculté des Sciences Economiques et de Gestion, Université de Sfax, Tunisia
Original language: French
Copyright © 2013 ISSR Journals. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Following the failure of monetary targeting theory in the eighties, several authors have proposed alternatives. The Taylor rule is commonly accepted in recent years for the determination of interest rates in order to achieve the final goal of the central bank. The present study tends to lead an analysis of the compatibility of behavior of central bank of Tunisia (CBT) in the monetary policy conduct with the Taylor rule. The results obtained from quarterly data ranging from 1997 to 2011 showed that the original Taylor rule has a low explicative power of the monetary authorities' behavior in Tunisia. The proposed forward-looking rule describes plausibly interest rates dynamics. In this rule, the money market rate (MMR) is dependent on its past level, the output gap between current and potential output, the deviation of expected inflation from the implicit target, the differential of money market rate between Tunisia and the euro area and the inflation differential between Tunisia and France. Therefore, the Tunisian monetary policy can follow a rule based on two main aggregates taken as targets, whose names are inflation and economic growth. The reaction function can be considered as a proposal for a new reform of the monetary policy of the Central Bank.
Author Keywords: Monetary policy, Price stability, Taylor rule, Tunisia, GMM.
Volume 3, Issue 1, May 2013, Pages 271–283
Rima Lajnaf1
1 Département des Sciences Economiques, Faculté des Sciences Economiques et de Gestion, Université de Sfax, Tunisia
Original language: French
Copyright © 2013 ISSR Journals. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Abstract
Following the failure of monetary targeting theory in the eighties, several authors have proposed alternatives. The Taylor rule is commonly accepted in recent years for the determination of interest rates in order to achieve the final goal of the central bank. The present study tends to lead an analysis of the compatibility of behavior of central bank of Tunisia (CBT) in the monetary policy conduct with the Taylor rule. The results obtained from quarterly data ranging from 1997 to 2011 showed that the original Taylor rule has a low explicative power of the monetary authorities' behavior in Tunisia. The proposed forward-looking rule describes plausibly interest rates dynamics. In this rule, the money market rate (MMR) is dependent on its past level, the output gap between current and potential output, the deviation of expected inflation from the implicit target, the differential of money market rate between Tunisia and the euro area and the inflation differential between Tunisia and France. Therefore, the Tunisian monetary policy can follow a rule based on two main aggregates taken as targets, whose names are inflation and economic growth. The reaction function can be considered as a proposal for a new reform of the monetary policy of the Central Bank.
Author Keywords: Monetary policy, Price stability, Taylor rule, Tunisia, GMM.
Abstract: (french)
Face à l'échec de la théorie de ciblage monétaire dans les années quatre-vingt, plusieurs auteurs ont proposé des solutions de rechange. La règle de Taylor représente la règle communément admise ces dernières années pour la détermination du taux d'intérêt afin de réaliser l'objectif final de la banque centrale. La présente étude tend à mener une analyse sur la compatibilité du comportement de la Banque Centrale de Tunisie (BCT) en matière de conduite de la politique monétaire avec la règle de Taylor. Les résultats obtenus à partir de données trimestrielles s'étalant de 1997 à 2011 montrent que la règle de Taylor originale présente un faible pouvoir explicatif du comportement des autorités monétaires tunisiennes. La règle prospective proposée décrit d'une manière plausible la dynamique du taux d'intérêt. Cette règle fait dépendre le niveau du taux de marché monétaire (TMM) de sa valeur passée, de l'écart de production à son potentiel, de l'écart de l'inflation anticipée à la cible implicite, du différentiel des taux du marché monétaire entre la Tunisie et la zone euro et du différentiel d'inflation entre la Tunisie et la France. Par conséquent, la politique monétaire tunisienne peut suivre une règle fondée sur deux grands agrégats pris comme cibles, à savoir l'inflation et la croissance économique. La fonction de réaction estimée peut être considérée comme une proposition d'une nouvelle réforme de la politique monétaire de la BCT.
Author Keywords: Politique monétaire, Stabilité des prix, Règle de Taylor, Tunisie, MMG.
How to Cite this Article
Rima Lajnaf, “Taylor rule and the conduct of monetary policy in Tunisia,” International Journal of Innovation and Applied Studies, vol. 3, no. 1, pp. 271–283, May 2013.
