Central bank balance sheet and inflation in a euroised small open economy: a cointegrated SVAR analysis
https://doi.org/10.3326/pse.48.4.6 | Published online: December 13, 2024 Graph 1
Financial intermediation and M0 money multiplier 2000 Q1=100 (in %) Graph 2
BoA liabilities and NFA, 2002-22, in billions of ALL Graph 3
Monetary indicators, as percentage of BoA liabilities and monetary base in lek (MBL) Graph 4
Balance sheet structural indicator Table 1
Estimates of linear ARDL equation (1)
a Figures in parenthesis show the value of t statistic, b***/** indicate significance at 1% and 5% respectively. Source: Authors’ calculations. Table 2
SVAR identification restrictions: long-run restrictions matrix F and short-run restrictions matrix S
a Correct estimation of SVAR requires that CPI is substituted by the cointegration relationship, hence we added “lr” superscript to CPI (see also in footnote 17). Graph 5
Response of variables to structural VAR innovations (shocks 1 – 6) Graph 6
Response to structural VAR innovation (shocks are defined in the same way as in graph 5) Graph 7
Response of ER to structural VAR innovations shock 5 Graph 8
Response of ER to structural VAR innovations shock 6 Table A1
Summary statistics
Table A2
Augmented Dickey-Fuller test results
***/** indicate significance at 1% and 5%, respectively. a LI_SA turned out to be break-point stationary, with a structural break identified in 2008:Q3. Table A3
Johansen cointegration test results
a Critical values based on MacKinnon-Haug-Michelis (1999). Graph A1
Time series of individual variables Graph A2
Scattered diagrams portraying first degree of autocorrelation and bilateral relationships Graph 1 Financial intermediation and M0 money multiplier 2000 Q1=100 (in %) DISPLAY Graph Graph 2 BoA liabilities and NFA, 2002-22, in billions of ALL DISPLAY Graph Graph 3 Monetary indicators, as percentage of BoA liabilities and monetary base in lek (MBL) DISPLAY Graph Graph 4 Balance sheet structural indicator DISPLAY Graph Table 1 Estimates of linear ARDL equation (1) DISPLAY Table Table 2 SVAR identification restrictions: long-run restrictions matrix F and short-run restrictions matrix S DISPLAY Table Graph 5 Response of variables to structural VAR innovations (shocks 1 – 6) DISPLAY Graph Graph 6 Response to structural VAR innovation (shocks are defined in the same way as in graph 5) DISPLAY Graph Graph 7 Response of ER to structural VAR innovations shock 5 DISPLAY Graph Graph 8 Response of ER to structural VAR innovations shock 6 DISPLAY Graph Table A1 Summary statistics DISPLAY Table Table A2 Augmented Dickey-Fuller test results DISPLAY Table Table A3 Johansen cointegration test results DISPLAY Table Graph A1 Time series of individual variables DISPLAY Graph Graph A2 Scattered diagrams portraying first degree of autocorrelation and bilateral relationships DISPLAY Graph |
December, 2024 IV/2024 |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2021