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 This is an Open Access article distributed under a Creative Commons Attribution-NonCommercial 4.0 International License (CC-BY-NC) which permits non commercial use and redistribution, as long as you give appropriate credit, provide a link to the license, and indicate if changes were made.
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