Abstract:

While the determinants of banking efficiency have been extensively debated, there is a notable lack of analysis regarding the efficiency of central banks. This study aims to identify and prioritize the macroeconomic and institutional factors that have the greatest impact on the efficiency of the Central Bank of Tunisia between 2000 and 2020. To accomplish this, we employed a dynamic approach using a Vector Autoregression model, Impulse Response Functions, and Variance Decomposition methods to assess the effects of each variable on the efficiency score. Our analysis shows that the most significant factors affecting the Central Bank of Tunisia's efficiency include GDP, internal conflicts, fiscal deficits, government stability, and inflation. Moreover, the findings suggest that the degree of central bank independence has a relatively limited impact on its efficiency.

Keywords:

Central banking, Efficiency, VAR model, Impulse response function, Variance decomposition.

JEL Classification:

C51, D610, C32, E52, E58.

How to Cite:

Faiza Bouhouch. Ranking the Determinants of the Tunisian Central Bank's Efficiency: Evidence from Var, Impulse Response Functions and Variance Decomposition. [ref]: vol.22.2024. available at: https://refpress.org/ref-vol22-a36/