Influence de la politique monétaire sur le taux long Quelques évidences empiriques, cas du Maroc

The impact of monetary on long rates: Some empirical evidence from Morocco

Zakaria El Faiz and Manal Ziani

MPRA Paper from University Library of Munich, Germany

Abstract: In an uncertain economic environment, long-term interest rates appear to be highly volatile and their sensitivity towards short-term interest rates appears to be still ambiguous. The aim of this work is to analyze this relationship, and to evaluate the impact of short-term interest rate on long-term interest rate in Morocco. We used a New Keynesian Model augmented with the term structure of interest rates, estimated with Bayesian methods on quarterly data for the period 2004-2015. The result shows that long-term interest rate increases in response to an increase in short term interest rate, which signifies that monetary policy in Morocco has the ability to influence long-term interest rates.

Keywords: NKM Model; Monetary Policy; long-term interest rates; term structure (search for similar items in EconPapers)
JEL-codes: E1 E12 E30 E43 E52 (search for similar items in EconPapers)
Date: 2016-07
New Economics Papers: this item is included in nep-ara, nep-cse and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/72817/1/MPRA_paper_72817.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/72950/1/MPRA_paper_72817.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/72950/3/MPRA_paper_72950.pdf revised version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:72817

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().