The credit market continues to be the main mechanism for financing investments in developing countries, particularly in Morocco. In this sense, monetary and macro-prudential policies require the inclusion of this market in macroeconomic analysis. In this article, we use the model proposed by Bernanke et al. (1999) "BGG" in the case of Morocco to answer two main questions: is there a mechanism f...

This paper constructs the augmented monetary conditions index (AMCI) over 1982:12004:4 using UECM and bounds test approach for the Philippines data. Results reveal evidence of cointegration between the real GDP and its determinants, namely shortterm interest rate, exchange rate and claims on private sectors that take into account three key transmission mechanisms channels in the conduct of mone...

This paper is the first one to: (i) provide in-sample estimates of linear and nonlinear Taylor rules, augmented with an indicator of financial stability, for the case of South Africa, and (ii) analyse the ability of linear and nonlinear monetary policy rule specifications, as well as nonparametric and semiparametric models, to forecast the nominal interest rate setting that describes the South ...

We study optimal monetary policy in a NewMonetarist framework with banking, private liquidity, and credit frictions.We show that whenever part of the decentralized transactions are allowed to use deposit claims backed by interest-bearing assets, the optimal policy is a non-Friedman-rule liquidity trap. In contrast, the Friedman rule is optimal if there are no credit frictions, or if the economy...

We estimate a monetary policy rule for the US allowing for possible frequency dependence i.e., allowing the central bank to respond differently to persistent innovations than to transitory innovations, in both the real-time unemployment rate and the real-time inflation rate. The method is flexible, and requires no strong a priori assumptions on the pattern of frequency dependence or on the natu...

There is a general belief that policymakers take into account credit channel conditions when deciding monetary policy. However, literature lacks evidence on the specific role of credit channel in monetary policymaking. This paper estimates an extended version of the Taylor rule by incorporating credit channel variables explicitly. In particular, net worth capital ratio, bankruptcy cost and defa...

Abstract This article provides an estimation method to decompose monetary policy innovations into persistent and transitory components using the nonlinear Taylor rule proposed in Andolfatto, Hendry, Moran (2008) [Are inflation expectations rational? Journal of Monetary Economics , 55 406–422]. To use Kalman filter as optimal signal extraction technique, we a convenient reformulation for state e...