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Author | : Mr.Emre Alper |
Publisher | : International Monetary Fund |
Total Pages | : 29 |
Release | : 2016-06-20 |
Genre | : Business & Economics |
ISBN | : 149831337X |
Download Monetary Policy Implementation and Volatility Transmission along the Yield Curve Book in PDF, ePub and Kindle
This paper analyzes the degree to which volatility in interbank interest rates leads to volatility in financial instruments with longer maturities (e.g., T-bills) in Kenya since 2012, year in which the monetary policy framework switched to a forward-looking approach, relative to seven other inflation targeting (IT) countries (Ghana, Hungary, Poland, South Africa, Sweden, Thailand, and Uganda). Kenya shows strong volatility transmission and high persistence similar to other countries in transition to a more forward-looking monetary policy framework. These results emphasize the importance of a strong commitment to an interbank rate as an operational target and suggest that the central bank could reduce uncertainty in short-term yields significantly by smoothing out the overnight interest rates around the policy rate.
Author | : C. Emre Alper |
Publisher | : |
Total Pages | : 30 |
Release | : 2016 |
Genre | : |
ISBN | : |
Download Monetary Policy Implementation and Volatility Transmission Along the Yield Curve Book in PDF, ePub and Kindle
This paper analyzes the degree to which volatility in interbank interest rates leads to volatility in financial instruments with longer maturities (e.g., T-bills) in Kenya since 2012, year in which the monetary policy framework switched to a forward-looking approach, relative to seven other inflation targeting (IT) countries (Ghana, Hungary,Poland, South Africa, Sweden, Thailand, and Uganda). Kenya shows strong volatility transmission and high persistence similar to other countries in transition to a more forward-looking monetary policy framework. These results emphasize the importance of a strong commitment to an interbank rate as an operational target and suggest that the central bank could reduce uncertainty in short-term yields significantly by smoothing out the overnight interest rates around the policy rate.
Author | : Julius Moschitz |
Publisher | : |
Total Pages | : 43 |
Release | : 2005 |
Genre | : |
ISBN | : |
Download Monetary Policy Implementation and the Euro Area Money Market Book in PDF, ePub and Kindle
This paper studies the effects of monetary policy implementation on the euro area money market. In particular, volatility of interest rates with various maturities and volatility transmission along the yield curve is analyzed. It is found that the way monetary policy is implemented affects volatility of most money market rates, except the twelve-month rate. These effects are strongest at the short end of the yield curve. Notwithstanding, firms' investment and households' consumption decisions depend mostly on longer term rates, which indicates that the operating procedures in place implement monetary policy decisions very efficiently, without inducing real costs on the economy. Furthermore, some calendar day effects, a U-shaped volatility curve and strong evidence in favor of the expectation hypothesis are documented.
Author | : Juan Ayuso |
Publisher | : |
Total Pages | : 40 |
Release | : 1994 |
Genre | : Foreign exchange |
ISBN | : |
Download Volatility Transmission Along the Money Market Yield Curve Book in PDF, ePub and Kindle
Author | : Nils Mæhle |
Publisher | : International Monetary Fund |
Total Pages | : 57 |
Release | : 2020-02-07 |
Genre | : Business & Economics |
ISBN | : 1513526855 |
Download Monetary Policy Implementation: Operational Issues for Countries with Evolving Monetary Policy Frameworks Book in PDF, ePub and Kindle
This paper discusses operational issues for countries that want to reform their monetary policy frameworks. It argues that stabilizing short-term interest rates on a day-to-day basis has significant advantages, and thus that short-term interest rates, not reserve money, in most cases should be the daily operating target, including for countries relying on a money targeting policy strategy. The paper discusses how a policy formulation framework based on monetary aggregates can be combined with an operational framework that ensures more stable and predictable short-term rates to enhance policy transmission. It also discusses how to best configure an interest-rate-based operational framework when markets are underdeveloped and liqudity management capacity is weak.
Author | : Gary Koop |
Publisher | : Now Publishers Inc |
Total Pages | : 104 |
Release | : 2010 |
Genre | : Business & Economics |
ISBN | : 160198362X |
Download Bayesian Multivariate Time Series Methods for Empirical Macroeconomics Book in PDF, ePub and Kindle
Bayesian Multivariate Time Series Methods for Empirical Macroeconomics provides a survey of the Bayesian methods used in modern empirical macroeconomics. These models have been developed to address the fact that most questions of interest to empirical macroeconomists involve several variables and must be addressed using multivariate time series methods. Many different multivariate time series models have been used in macroeconomics, but Vector Autoregressive (VAR) models have been among the most popular. Bayesian Multivariate Time Series Methods for Empirical Macroeconomics reviews and extends the Bayesian literature on VARs, TVP-VARs and TVP-FAVARs with a focus on the practitioner. The authors go beyond simply defining each model, but specify how to use them in practice, discuss the advantages and disadvantages of each and offer tips on when and why each model can be used.
Author | : Sanvi Avouyi-Dovi |
Publisher | : |
Total Pages | : 23 |
Release | : 1999 |
Genre | : Banks and banking |
ISBN | : |
Download Interest Rate Transmission and Volatility Transmission Along the Yield Curve Book in PDF, ePub and Kindle
Author | : Sanvi Avouyi-Dovi |
Publisher | : |
Total Pages | : 23 |
Release | : 1999 |
Genre | : Banks and banking |
ISBN | : |
Download Interest Rate Transmission and Volatility Transmission Along the Yield Curve Book in PDF, ePub and Kindle
Author | : Lauren C. Williams |
Publisher | : Nova Publishers |
Total Pages | : 182 |
Release | : 2006 |
Genre | : Business & Economics |
ISBN | : 9781594546679 |
Download Monetary Policy and Issues Book in PDF, ePub and Kindle
In the 1970's, many countries were plagued by persistently high inflation rates, which were thought to cause a significant loss in economic efficiency. Since persistent inflation is considered to be ultimately the result of monetary policy, many countries in the 1990s sought institutional reforms to their central banks to prevent a return to the 1970s experience. A popular reform was to move from giving central banks multiple policy goals to a single mandate of price stability. The single mandate was accompanied by the introduction of an inflation target, in which central banks aim to keep inflation within a pre-defined numerical range. The logic behind these reforms was a belief among proponents that it would remove the political temptation to 'pump up' the economy in the short run at the expense of long-run price stability, and a belief that 'fine tuning' monetary policy in response to every change in economic conditions, was of little value. This book develops quantitative measurements to analyse the success of inflation targeting abroad by comparing both the performance of targeters to non-targeters and the performance of countries before and after targeting was adopted.
Author | : Ulrich Bindseil |
Publisher | : OUP Oxford |
Total Pages | : 288 |
Release | : 2004-12-02 |
Genre | : Business & Economics |
ISBN | : 0191608475 |
Download Monetary Policy Implementation Book in PDF, ePub and Kindle
The first of its kind, this book is entirely dedicated to the implementation of monetary policy. Monetary policy implementation has gone through tremendous changes over the last twenty years, which have witnessed the quiet end of 'reserve position doctrine' and the return of an explicit focus on short-term interest rates. Enthusiastically supported by Keynes and later by the monetarist school, reserve position doctrine was developed mainly by US central bankers and academics during the early 1920s, and at least in the US became the unchallenged dogma of monetary policy implementation for sixty years. The return of interest rate targeting also corresponds largely to the restoration of central banking principles established in the late 19th century. Providing a simple theory of monetary policy implementation, Bindseil goes on to explain the role of the three main instruments (open market operations, standing facilities, and reserve requirements) and reviews their use in the twentieth century. In closing, he summarizes current views on efficient monetary policy implementation.