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Monetary Policy and the Yield Curve

Author

Listed:
  • 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)

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.

Suggested Citation

  • Vladislav Abramov, 2022. "Monetary Policy and the Yield Curve," Bank of Russia Working Paper Series wps95, Bank of Russia.
    • Handle: RePEc:bkr:wpaper:wps95
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    Citations

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    Cited by:

    1. Mansur Abdurakhmanov, 2023. "Modelling the Effect of Bank of Russia Key Rate Forecasts on Market Participants’ Expectations," Russian Journal of Money and Finance, Bank of Russia, vol. 82(2), pages 3-20, June.

    More about this item

    Keywords

    monetary policy surprises; high-frequency identification; principal component analysis;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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