Analyse de la transmission de la politique monétaire vers les taux souverains

Hicham Bennouna and Lahcen Bounader

No 2018-2, Document de travail from Bank Al-Maghrib, Département de la Recherche

Abstract: The objective of this study is to evaluate the monetary policy transmission along the sovereign bond yield curve (2, 5 and 10 years) in Morocco through the estimation of several SVAR models between 2007-2017. Two different approaches for identifying structural shocks were used: (1) recursive factorization of Christiano-Eichenbaum-Evans (1999) and (2) non-recursive identification of Sims-Zha (2006). The variance decomposition suggests that macroeconomic impulses account for the vast preponderance of 5-year and 10-year variability compared to 2-year government bills. Similarly, the impulse response functions show that tighter monetary policy makes the yield curve steeper, meaning that the long-end of the yield curve increases more than the short-end. Moreover, the results suggest that an important part of 5 and 10 years sovereign bond reaction is explained by the « risk premium » component while the 2-year treasury bills are driven by monetary policy shocks.

Keywords: Courbe des taux; prime de risque; décomposition de la variance; chocs de politique monétaire. (search for similar items in EconPapers)
JEL-codes: E43 E52 E58 G12 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2018-05-14
New Economics Papers: this item is included in nep-ara, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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s.loukili@bkam.ma

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Persistent link: https://EconPapers.repec.org/RePEc:ris:bkamdt:2018_002

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