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

Author

Listed:
  • Hicham Bennouna

    (Bank Al-Maghrib, Département de la Recherche)

  • Lahcen Bounader

    (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.

Suggested Citation

  • 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.
    • Handle: RePEc:ris:bkamdt:2018_002
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    Cited by:

    1. Bennouna, Hicham, 2019. "Interest rate pass-through in Morocco: Evidence from bank-level survey data," Economic Modelling, Elsevier, vol. 80(C), pages 142-157.

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    Keywords

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    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
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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