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Monetary and Fiscal Policies and the Dynamics of the Yield Curve in Morocco

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  • Mr. Calixte Ahokpossi
  • Pilar Garcia Martinez
  • Laurent Kemoe

Abstract

We estimate the latent factors that underlie the dynamics of the sovereign bond yield curve in Morocco during 2004–14 based on the Dynamic Nelson-Siegel model. On this basis, we explore the interaction between macroeconomic variables and the yield curve, which is of direct relevance to macroeconomic policy-making. In Morocco’s context, we find that tighter monetary policy increases short-end maturities, and that the impact is small and short-lived. Economic activity is also briefly but significantly impacted, suggesting that even under a pegged exchange rate, monetary policy autonomy and effectiveness can be increased through greater central bank independence. Fiscal improvements significantly lower yield levels. Policy conclusions are that improvement in the fiscal and monetary policy frameworks, as well as greater financial sector development and inclusion, could benefit Morocco and strengthen the transmission mechanisms and effectiveness of macroeconomic policies.

Suggested Citation

  • Mr. Calixte Ahokpossi & Pilar Garcia Martinez & Laurent Kemoe, 2016. "Monetary and Fiscal Policies and the Dynamics of the Yield Curve in Morocco," IMF Working Papers 2016/103, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2016/103
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    References listed on IDEAS

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    Cited by:

    1. Yasir Riaz & Choudhry T. Shehzad & Zaghum Umar, 2021. "The sovereign yield curve and credit ratings in GIIPS," International Review of Finance, International Review of Finance Ltd., vol. 21(3), pages 895-916, September.
    2. EL FAIZ, Zakaria & ZIANI, Manal, 2016. "Influence de la politique monétaire sur le taux long Quelques évidences empiriques, cas du Maroc [The impact of monetary on long rates : Some empirical evidence from Morocco]," MPRA Paper 72817, University Library of Munich, Germany.
    3. Bennouna, Hicham, 2019. "Interest rate pass-through in Morocco: Evidence from bank-level survey data," Economic Modelling, Elsevier, vol. 80(C), pages 142-157.
    4. Hicham Bennouna & Lahcen Bounader, 2018. "Analyse de la transmission de la politique monétaire vers les taux souverains," Document de travail 2018-2, Bank Al-Maghrib, Département de la Recherche.
    5. harraou, Khalid, 2019. "Analyse du pass-through du taux d’intérêt au Maroc [Analysis of the interest rate in Morocco]," MPRA Paper 94968, University Library of Munich, Germany.

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