Monetary Policy and the Yield Curve

Vladislav Abramov ()
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Vladislav Abramov: Bank of Russia, Russian Federation Author-Name: Konstantin Styrin Author-Email: styrinka@mail.cbr.ru Author-Workplace-Name: Bank of Russia, Russian Federation Author-Name: Alexander Tishin Author-Email: tishinav@mail.cbr.ru Author-Workplace-Name: Bank of Russia, Russian Federation

No wps95, Bank of Russia Working Paper Series from Bank of Russia

Abstract: This paper discusses the impact of monetary policy on financial and macroeconomic variables in Russia. We distinguish two types of monetary policy: (1) that causes by changes in the current rates and (2) that causes by any other reason (such as forward guidance, communication, and central bank information). We find that these two types have distinct effects on financial variables. The first type better explains the variation of interest rates for the entire yield curve. In contrast, the second type explains the variation in the exchange rate and market indices. Moreover, we also show that monetary policy transmission from interest rates to inflation takes about one year but this effect is only temporary.

Keywords: monetary policy surprises; high-frequency identification; principal component analysis (search for similar items in EconPapers)
JEL-codes: E43 E44 E52 E58 (search for similar items in EconPapers)
Pages: 46 pages
Date: 2022-05
New Economics Papers: this item is included in nep-cis, nep-mac and nep-mon
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Citations: View citations in EconPapers (2)

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