Time-varying response of treasury yields to monetary policy shocks : evidence from the Tunisian bond market
Joint Authors
Mbarak, Lassaad
Marfatia, Hardik A.
Juko, Sonja
Source
Economic Research Forum : Working Paper Series
Issue
Vol. 2018, Issue 1172-1274 (31 Dec. 2018)29 p.
Publisher
Economic Research Forum for the Arab Countries Iran and Turkey
Publication Date
2018-12-31
Country of Publication
Egypt
No. of Pages
29
Main Subjects
Financial and Accounting Sciences
Topics
Abstract EN
This paper examines the Treasury bond yields response to monetary policy shocks in Tunisia under a heterogeneous economic environment.
Using a traditional fixed coefficient model, we first estimate the impact of monetary policy changes on the term structure of interest rates for the whole period from January 2006 to December 2016.
We then study the stability of this relationship by distinguishing two sub-periods around the revolution of January 2011.
To investigate how the relationship between the monetary policy and the Treasury yield curve evolves over time, we estimate a time-varying parameter model.
The results show that the impact of monetary policy is more pronounced at the short end of the yield curve relative to the longer end.
Further, this impact declined significantly across all maturities following the revolution and exhibits wide time variation.
This evidence supports the negative influence of high levels of uncertainty on monetary policy effectiveness and highlights the desirability of more active monetary policy especially in turbulent environment.
American Psychological Association (APA)
Mbarak, Lassaad& Marfatia, Hardik A.& Juko, Sonja. 2018. Time-varying response of treasury yields to monetary policy shocks : evidence from the Tunisian bond market. Economic Research Forum : Working Paper Series،Vol. 2018, no. 1172-1274.
https://search.emarefa.net/detail/BIM-957260
Modern Language Association (MLA)
Mbarak, Lassaad…[et al.]. Time-varying response of treasury yields to monetary policy shocks : evidence from the Tunisian bond market. Economic Research Forum : Working Paper Series No. 1172-1274 (Dec. 2018).
https://search.emarefa.net/detail/BIM-957260
American Medical Association (AMA)
Mbarak, Lassaad& Marfatia, Hardik A.& Juko, Sonja. Time-varying response of treasury yields to monetary policy shocks : evidence from the Tunisian bond market. Economic Research Forum : Working Paper Series. 2018. Vol. 2018, no. 1172-1274.
https://search.emarefa.net/detail/BIM-957260
Data Type
Journal Articles
Language
English
Notes
Includes appendices : p. 19-26
Record ID
BIM-957260