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Asymmetries in Yield Curves: Some Empirical Evidence from Ghana

Bernard Njindan Iyke

MPRA Paper from University Library of Munich, Germany

Abstract: We analyze the co-movements of the monetary policy rates (MPR) and the treasury bill rates (TBR) in Ghana over the period January 2007 to July 2016, using three nonlinear econometric techniques. We find the MPR and the TBR to be cointegrated with threshold adjustments. Positive deviations from the long-term equilibrium due to increases in the MPR or decreases in the TBR are corrected at 0.3% monthly. Negative deviations from the long-term equilibrium due to decreases in the MPR or increases in TBR are corrected at 8.8% monthly. Our results show bidirectional causal flow between MPR and TBR. In addition, we find positive deviations in the TBR to be corrected at 0.34% monthly, while negative deviations are corrected at 8.6% monthly, in the short term. Thus, the TBR responds faster to negative than positive deviations. These findings are broadly consistent with the inflation-targeting framework of the Bank of Ghana.

Keywords: Asymmetric Adjustments; Threshold Cointegration; Nonlinear Causality; Yield Curves; Ghana (search for similar items in EconPapers)
JEL-codes: E43 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
Date: 2017-01
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