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Monetary and Fiscal Policies and the Dynamics of the Yield Curve in Morocco

Monetary and Fiscal Policies and the Dynamics of the Yield Curve in Morocco »

Source: Monetary and Fiscal Policies and the Dynamics of the Yield Curve in Morocco

Volume/Issue: 2016/103

Series: IMF Working Papers

Author(s): Calixte Ahokpossi , Pilar Garcia Martinez , and Laurent Kemoe

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 May 2016

ISBN: 9781484365465

Keywords: Yield curve; interest rates; government bonds; Morocco.

We estimate the latent factors that underlie the dynamics of the sovereign bond yield curve in Morocco during 2004-14 based on the Dynamic Nelson-Siegel model. On this basis, we explore the interaction between macr...

A New Wave of ECB's Unconventional Monetary Policies: Domestic Impact and Spillovers

A New Wave of ECB's Unconventional Monetary Policies: Domestic Impact and Spillovers »

Source: A New Wave of ECB's Unconventional Monetary Policies: Domestic Impact and Spillovers

Volume/Issue: 2018/11

Series: IMF Working Papers

Author(s): Richard Varghese , and Yuanyan Sophia Zhang

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 24 January 2018

ISBN: 9781484338544

Keywords: Yield Curve, Quantitative Easing, Event Study, General, General

ECB President Draghi's Jackson Hole speech in August 2014 arguably marked a new phase of unconventional monetary policies (UMPs) in the euro area. This paper examines the market impact and tranmission channels of t...

Macrofinance Model of the Czech Economy

Macrofinance Model of the Czech Economy »

Source: Macrofinance Model of the Czech Economy : Asset Allocation Perspective

Volume/Issue: 2012/78

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2012

ISBN: 9781475502305

Keywords: yield curve modeling, macrofinance modeling, vector auto-regression model, bond, bond yield, government bond, bond yields, correlation, Econometric Modeling: General,

The paper developes a VAR macrofinance model of the Czech economy. It shows that yield misalignments from the yields implied by the macrofinance model partially determine subsequent yield changes over three to nine...

The Dynamics of the Term Structure of Interest Rates in the United States in Light of the Financial Crisis of 2007-10

The Dynamics of the Term Structure of Interest Rates in the United States in Light of the Financial Crisis of 2007-10 »

Source: The Dynamics of the Term Structure of Interest Rates in the United States in Light of the Financial Crisis of 2007-10

Volume/Issue: 2011/84

Series: IMF Working Papers

Author(s): Marco Rodriguez Waldo , and Carlos Medeiros

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2011

ISBN: 9781455226047

Keywords: Term structure of interest rates, yield curve, U.S. Treasury security yields, interest rates, macroeconomic variables, treasury securities, inflation, monetary policy, macroeconomic factors, Financial Markets and the Macroeconomy,

This paper assesses the dynamics of the term structure of interest rates in the United States in light of the financial crisis in 2007-10. In particular, this paper assesses the dynamics of the term structure of U....

Official Demand for U.S. Debt

Official Demand for U.S. Debt »

Source: Official Demand for U.S. Debt : Implications for U.S. Real Interest Rates

Volume/Issue: 2014/66

Series: IMF Working Papers

Author(s): Iryna Kaminska , and Gabriele Zinna

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 18 April 2014

ISBN: 9781475590081

Keywords: Term structure of interest rates, Large Scale Asset Purchases (LSAP), real yield curve, Bayesian estimation, bond, treasury bond, bond yields, bond prices, General,

By constructing and estimating a structural arbitrage-free model of demand pressures on US real rates, we find that recent purchases of US government debt securities by the Fed and foreign officials have significan...

An Assessment of Estimates of Term Structure Models for the United States

An Assessment of Estimates of Term Structure Models for the United States »

Source: An Assessment of Estimates of Term Structure Models for the United States

Volume/Issue: 2011/247

Series: IMF Working Papers

Author(s): Carlos Medeiros , and Ying He

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2011

ISBN: 9781463923266

Keywords: Term structure models, term structure of interest rates, yield curves, yields on U.S. Treasury securities, equation, bond, covariance, bonds, equations, Financial Markets and the Macroeconomy,

The paper assesses estimates of term structure models for the United States. To this end, this paper first describes the mathematics underlying two types of term structure models, namely the Nelson-Siegel and Cox,...

Financing Growth in the WAEMU Through the Regional Securities Market

Financing Growth in the WAEMU Through the Regional Securities Market »

Source: Financing Growth in the WAEMU Through the Regional Securities Market : Past Successes and Current Challenges

Volume/Issue: 2012/249

Series: IMF Working Papers

Author(s): Mame Astou Diouf , and Francois Boutin-Dufresne

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 18 October 2012

ISBN: 9781475548204

Keywords: WAEMU, bond market, yield curve, principal component analysis, bond, securities market, t-bonds, Financial Markets and the Macroeconomy,

The West African Economic and Monetary Union (WAEMU) regional securities market saw increasing activity in the last decade, but still fell short of supplying sufficient long-term financing for growth-enhancing publ...

Lower Bound Beliefs and Long-Term Interest Rates*

Lower Bound Beliefs and Long-Term Interest Rates* »

Source: Lower Bound Beliefs and Long-Term Interest Rates

Volume/Issue: 2017/62

Series: IMF Working Papers

Author(s): Christian Grisse , Signe Krogstrup , and Silvio Schumacher

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 March 2017

ISBN: 9781475588224

Keywords: Monetary policy, Negative interest rates, lower bound, yield curve, term structure, Monetary Policy (Targets, Instruments, and Effects)

We study the transmission of changes in the believed location of the lower bound to longterm interest rates since the introduction of negative interest rate policies. The expectations hypothesis of the term structu...

Monetary Transmission

Monetary Transmission »

Source: Monetary Transmission : Are Emerging Market and Low Income Countries Different?

Volume/Issue: 2015/239

Series: IMF Working Papers

Author(s): Ales Bulir , and Jan Vlcek

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 20 November 2015

ISBN: 9781513554235

Keywords: Monetary transmission, yield curve, interest, inflation, market, Monetary Policy (Targets, Instruments, and Effects), Asset Pricing, All Countries,

We use two alternative representations of the yield curve to test the functioning of the interest rate transmission mechanism along the yield curve based on government paper in a sample of emerging market and low-i...

Global Factors in the Term Structure of Interest Rates

Global Factors in the Term Structure of Interest Rates »

Source: Global Factors in the Term Structure of Interest Rates

Volume/Issue: 2013/223

Series: IMF Working Papers

Author(s): Mirko Abbritti , Salvatore Dell'Erba , Antonio Moreno , and Sergio Sola

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 05 November 2013

ISBN: 9781475513516

Keywords: Yield Curve, Global Factors, FAVAR, Affine Term Structure Models, Term Premium, inflation, monetary economics, expansionary monetary policy, monetary policies, Time-Series Models

This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more...