scholarly journals Identification of monetary shocks through the yield curve: Evidence for Brazil

2021 ◽  
Vol 19 (1) ◽  
pp. 24-51
Author(s):  
Adonias Evaristo Da Costa Filho
Keyword(s):  
Monetary Policy ◽  
Economic Activity ◽  
Latent Variables ◽  
Yield Curve ◽  
Monetary Shocks ◽  
Policy Decisions ◽  
Yield Curves ◽  
Monetary Shock

This paper derives a new measure of monetary shock for Brazil based on the yield curve. First, the Diebold and Li (2006) model is estimated with nominal yields. The changes of the latent variables of this model surrounding monetary policy meetings are used to analyze the effects on the Brazilian economy. Monetary policy decisions associated with steeper yield curves lead to higher future economic activity.

scholarly journals The monetary transmission mechanism in Brazil: evidence from a var analysis

2008 ◽  
Vol 38 (1) ◽  
pp. 7-30 ◽  
Author(s):  
Viviane Luporini
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Economic Activity ◽  
Commodity Prices ◽  
Transmission Mechanism ◽  
Monetary Transmission ◽  
Time Interval ◽  
Monetary Shocks ◽  
Real Gdp ◽  
The Exchange Rate

This article presents evidence on the interest channel of the monetary policy for the Brazilian economy of the 1990s analyzing the effects of an unexpected change in the baseline interest rate on output, prices and the exchange rate in a vector autoregression system. Our main results are: a) a tightening in the monetary policy affects economic activity immediately, reducing the rate of growth of real GDP; b) the exchange rate and prices are affected only after a time interval, with inflation assuming a downward trend only two months after the monetary shock; c) results do not change when the specification is controlled for international conditions, commodity prices or other measures of inflation and economic activity; d) monetary shocks have a significant impact on the volatility of output and inflation in the benchmark model e) monetary shocks have a significant impact on the volatility of the debt/GDP ratio in the control-model.

scholarly journals Monetary Policy Is Not Always Systematic and Data-Driven

2020 ◽  
Vol 20 (04) ◽  
Author(s):  
Ales Bulir ◽  
Jan Vlcek
Keyword(s):  
Monetary Policy ◽  
Inflation Targeting ◽  
Yield Curve ◽  
Data Driven ◽  
Price Stability ◽  
Multiple Objective ◽  
Output Gap ◽  
Policy Decisions ◽  
Policy Regime ◽  
Monetary Regimes

Does monetary policy react systematically to macroeconomic innovations? In a sample of 16 countries – operating under various monetary regimes – we find that monetary policy decisions, as expressed in yield curve movements, do react to macroeconomic innovations and these reactions reflect the monetary policy regime. While we find evidence of the primacy of the price stability objective in the inflation targeting countries, links to inflation and the output gap are generally weaker and less systematic in money-targeting and multiple-objective countries.

scholarly journals The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve

2010 ◽  
Vol 8 (6) ◽  
pp. 1266-1298 ◽  
Author(s):  
Claus Brand ◽  
Daniel Buncic ◽  
Jarkko Turunen
Keyword(s):  
Monetary Policy ◽  
Yield Curve ◽  
Policy Decisions ◽  
The Impact

scholarly journals Monetary policy in Brazil: Evidence from new measures of monetary shocks

2017 ◽  
Vol 47 (2) ◽  
pp. 295-328
Author(s):  
Adonias Evaristo da Costa Filho
Keyword(s):  
Monetary Policy ◽  
Yield Curve ◽  
Monetary Shocks ◽  
Vector Autoregressions ◽  
Real Gdp ◽  
Price Puzzle ◽  
Bank Staff ◽  
Information Law ◽  
Policy Shocks ◽  
Monetary Policy Shock

Abstract This paper derives new measures of monetary policy shocks for Brazil. First, one set of shocks is built inspired by Romer and Romer (2004) methodology, using official and private forecasts. Central Bank staff forecasts were collected from the technical presentations of monetary policy meetings, released after the introduction of the Access of Information Law, while private forecasts come from the Focus survey. Second, a yield curve shock is constructed for the Brazilian case, based on the Barakchian and Crowe (2013) methodology. Equipped with the shocks measures, I include them on VARs (Vector Autoregressions) and analyze the effects on inflation and output. A standardized monetary policy shock is found to reduce real GDP in up to 0.5%. In all but the yield curve shock case, it is found evidence of a price puzzle in the estimated models.

Economic effects of monetary policy in Russia: What do large datasets tell us?

2020 ◽  
pp. 31-53 ◽  
Author(s):  
Anna A. Pestova ◽  
Natalia A. Rostova
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Interest Rates ◽  
Economic Activity ◽  
Global Financial Crisis ◽  
Exchange Rate Regime ◽  
Aggregate Demand ◽  
Economic Effects ◽  
Theoretical Concepts ◽  
Empirical Estimates

Is the Bank of Russia able to control inflation and, at the same time, manage aggregate demand using its interest rate instruments? In other words, are empirical estimates of the effects of monetary policy in Russia consistent with the theoretical concepts and experience of advanced economies? This paper is aimed at addressing these issues. Unlike previous research, we employ “big data” — a large dataset of macroeconomic and financial data — to estimate the effects of monetary policy in Russia. We focus exclusively on the period after the 2008—2009 global financial crisis when the Bank of Russia announced the abandoning of its fixed ruble exchange rate regime and started to gradually transit to an interest rate management. Our estimation results do not confirm standard responses of key economic activity and price variables to tightening of monetary policy. Specifically, our estimates do not reveal a statistically significant restraining effect of the Bank of Russia’s policy of high interest rates on inflation in recent years. At the same time, we find a significant deteriorating effect of the monetary tightening on economic activity indicators: according to our conservative estimates, each of the key rate increases occurred in March and December 2014 had led to a decrease in the industrial production index by about 0.2 percentage points within a year.

Modeling the green bond yield on bond offering

2020 ◽  
Vol 26 (12) ◽  
pp. 2858-2878
Author(s):  
M.I. Emets
Keyword(s):  
Linear Regression ◽  
Yield Curve ◽  
Bond Market ◽  
Third Party ◽  
Bond Pricing ◽  
Market Development ◽  
Fair Price ◽  
Lower Yield ◽  
Yield Curves ◽  
Bond Yield

Subject. The article addresses the green bond pricing as compared to bonds other than green ones. Objectives. The aims are to determine how the fact that a bond is identified as a green one, the issue amount, and the availability of third-party verification, influence the yield to maturity; to make recommendations on effective green bond pricing. Methods. The study employs econometric testing of hypotheses, using the multiple linear regression. The sample includes 318 green and 1695 conventional bonds. Results. Green bonds have a lower yield to maturity in comparison with conventional bonds. The yield to maturity of green bonds with third-party verification is lower, as contrasted with green bonds without verification. Conclusions. The next step in the green bond market development is creating a benchmark yield curve for sovereign green bonds, with parallel issuance of conventional, non-green bonds. The yield curve is crucial for effective bond pricing. Two yield curves, i.e. for green and non-green bonds, will enable investors to estimate the fair price on issuance, as well as to define, if there is a difference in pricing.

Forecasting Economic Activity from Yield Curve Factors

2013 ◽  
Author(s):  
Efthymios Argyropoulos ◽  
Elias Tzavalis
Keyword(s):  
Economic Activity ◽  
Yield Curve
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