EFFECTIVENESS OF MONETARY POLICY CHANNELS IMPACT ON INFLATION RATE: THE CASE OF YEMEN (AN ECONOMETRIC STUDY)
Keywords:
Inflation, Monetary Policy, Monetary Transmission Mechanism, VAR Model, YemenAbstract
The study aimed at assessing the effectiveness of monetary policy channels in transmitting the monetary policy impact to inflation rate in Yemen. The study follows the quantitative analysis method according to modern econometric models commonly used in similar
empirical studies such as vector autoregressive model (VAR) and causation test in the long run (Toda-Yamamoto causality), analysis of impulse response, variance decomposition analysis, and annual data for the period 1990 to 2019. It included inflation rate variable and
other four variables representing monetary transmission channels such as monetary channel (M1), interest rate channel (IR), exchange rate channel (EXR), and bank lending channel (LOANS).
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