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La réaction du marché financier face à différentes sources de signal de la politique monétaire au Canada

En considérant la partie non anticipée des annonces monétaires de M1, les changements du taux d'escompte et les changements du taux des avances à un jour comme des signaux potentiels de la politique monétaire canadienne, nous vérifions l'existence d'un impact significatif de ces signaux sur le marché financier canadien. Pour la période de janvier 1987 à février 1991, nos résultats suggèrent que les taux d'intérêt canadiens n'ont pas réagi aux annonces monétaires et ont réagi très peu aux annonces du taux d'escompte. Cette absence de réaction est compatible avec l'explication que les agents économiques ne détectent aucune information nouvelle dans ces annonces. Par contre, les changements du taux des avances à un jour ont un impact significatif sur l'ensemble du marché financier mais cet impact est quantitativement plus important pour les actifs à maturité plus courte, ce qui est en accord avec la procédure de gestion des encaisses employée par la Banque du Canada. Toutefois, la réaction du marché financier canadien aux changements des taux d'intérêt américains est nettement plus importante que la contribution propre de la politique monétaire canadienne. This paper considers the reaction of Canadian interest rates to several signals of monetary policy, as captured by unexpected changes in M1 announcements, changes in the bank rate, and changes in the overnight mostcall rate. For a sample of data covering the January 1987 - February 1991 period, our results suggest that Canadian interest rates do not react to M1 announcements, and react very little to changes in the bank rate. Changes in the overnight mostcall rate induce a significant effect on financial assets with both short and long maturities but this impact is quantitatively more important for short-term assets. This is in agreement with the cash management operations practiced by the Bank of Canada. However, the financial market reaction to changes in U.S. interest rates is more important than the contribution of the Canadian monetary policy.

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Paper provided by CREFE, Université du Québec à Montréal in its series Cahiers de recherche CREFE / CREFE Working Papers with number 11.

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Length: 23 pages
Date of creation: Mar 1993
Publication status: Published, Canadian Journal of Economics, 28(4a), pages 808-821, November 1995
Handle: RePEc:cre:crefwp:11
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