IDEAS home Printed from https://ideas.repec.org/a/afj/journl/v13y2011iconferencep92-109.html
   My bibliography  Save this article

Effectiveness of Monetary Policy Communication in Kenya

Author

Listed:
  • Isaya Maana
  • Samuel Tiriongo

    (Central Bank of Kenya)

Abstract

This paper examines the effectiveness of monetary policy communication in signalling the direction of short term interest rates in Kenya between January 2007 and January 2010. The analyses focused on monetary policy committee (MPC) press releases as the main channel of communicating policy decisions. The paper used an Exponential Generalized Autoregressive Conditional Heteroskedastic (EGARCH) model to analyse the effects of policy announcements on changes in average weekly interbank interest rates and the 91 day Treasury bill rates. The empirical findings show that, to a large extent, the monetary policy press releases have been effective in signalling the direction of short term interest rates. Nevertheless, there seems to be asymmetry in the effectiveness of the statements, in which statements with loose policy inclination tend to be more effective compared with the statements with tight policy inclination. Results also indicate that reinforcing the policy stance with statements in the intermeeting period such as the Governor’s speeches also tend to have a signalling power particularly in instances when the MPC maintains a neutral stance.

Suggested Citation

  • Isaya Maana & Samuel Tiriongo, 2011. "Effectiveness of Monetary Policy Communication in Kenya," The African Finance Journal, Africagrowth Institute, vol. 13(Conferenc), pages 92-109.
    • Handle: RePEc:afj:journl:v:13:y:2011:i:conference:p:92-109
    as

    Download full text from publisher

    File URL: http://www.journals.co.za/ej/ejour_finj.html
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Communication; Effectiveness; Monetary Policy; Monetary Policy Committee; Central Bank of Kenya;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • 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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:afj:journl:v:13:y:2011:i:conference:p:92-109. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk De Doncker (email available below). General contact details of provider: https://edirc.repec.org/data/afrgrza.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.