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Mozambican Monetary Policy and the Yield Curve of Treasury Bills - An Empirical Study

Agostinho Machava () and Kurt Brännäs ()
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Agostinho Machava: Department of Economics, Umeå University, Postal: Department of Economics, Umeå University, S 901 87 Umeå, Sweden, http://www.econ.umu.se

No 918, Umeå Economic Studies from Umeå University, Department of Economics

Abstract: While there is a relatively large empirical literature on the link between monetary policy and yield curve for developed economies, studies on emerging and developing economies are very rare. This paper contributes to reducing this gap by studying the effectiveness of monetary policy in Mozambique. Using monthly data it examines the pass-through of changes in the policy rate to the yield curve of treasury bills in the period 2006 - 2015. The main finding is that there is a pass-through from policy rate to treasury bill. However, the transmission from short to long term maturities in the yield curve is weak and slow.

Keywords: Mozambique; Factor model; Policy rate; Effect; Estimation (search for similar items in EconPapers)
JEL-codes: C32 C51 C58 E43 G20 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-afr, nep-mac and nep-mon
Date: 2015-12-07
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:umnees:0918

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