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Monetary and fiscal policies and the dynamic of the yield curve in Morocco /
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...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund,
[2016]
|
| Colección: | IMF working paper ;
WP/16/103. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 050 | 4 | |a HG3881.5.I58 |b W67 No. 16/103eb | |
| 082 | 0 | 4 | |a 336.30964 |
| 049 | |a UAMI | ||
| 100 | 1 | |a Ahokpossi, Calixte, |e author, |e (IMF staff) | |
| 245 | 1 | 0 | |a Monetary and fiscal policies and the dynamic of the yield curve in Morocco / |c prepared by Calixte Ahokpossi, Pilar Garcia-Martinez, and Laurent Kemoe. |
| 246 | 1 | 4 | |a Monetary and fiscal policies and the dynamics of the yield curve in Morocco |
| 264 | 1 | |a [Washington, D.C.] : |b International Monetary Fund, |c [2016] | |
| 264 | 4 | |c ©2016 | |
| 300 | |a 1 online resource (31 pages) : |b color illustrations. | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF working paper, |x 1018-5941 ; |v WP/16/103 | |
| 500 | |a "May 2016." | ||
| 500 | |a "Middle East and Central Asia Department." | ||
| 504 | |a Includes bibliographical references (pages 24-25). | ||
| 520 | |a 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. | ||
| 588 | 0 | |a Online resource; title from pdf title page (IMF.org Web site, viewed July 13, 2016). | |
| 505 | 0 | |a Cover; Contents; Abstract; I. Introduction; II. Literature Review; III. Domestic Sovereign Bond Market In Morocco; IV. Methodological Approach; A. The Dynamic Nelson-Siegel (DNS) Model; B. The Principal Component Analysis (PCA); C. The Vector Autoregressive (VAR) Model; V. Results; A. Data and Stylized Facts; B. Fitting the Yield Curves: The Dynamic Nelson-Siegel Model; C. Yield Curve and the Macroeconomy; VI. Conclusions and Policy Lessons; Figures; 1a. Policy Rate and Money Market Rate; 1b. Bonds Yields at Different Maturities; 2. The Yield Curve (2004-2014); 3. Yield Curve Factor Loadings. | |
| 505 | 8 | |a 4. Actual (Red Stars) and Fitted (Black Solid Lines) Yield Curves5. Empirical and Estimated Yield Curve Factors; 6. Estimated Yield Curve Factors, and Inflation; 7. Impulse Response Functions: Monetary Policy Tightening; 8. Impulse Response Functions: Fiscal Shock; 9. Cross Correlograms; Appendix; Tables; Annex; Functioning of the Domestic Bond Market in Morocco. | |
| 590 | |a eBooks on EBSCOhost |b EBSCO eBook Subscription Academic Collection - Worldwide | ||
| 650 | 0 | |a Bonds |z Morocco. | |
| 650 | 0 | |a Monetary policy |z Morocco. | |
| 650 | 0 | |a Fiscal policy |z Morocco. | |
| 651 | 0 | |a Morocco |x Economic conditions. | |
| 650 | 6 | |a Obligations (Valeurs) |z Maroc. | |
| 650 | 6 | |a Politique monétaire |z Maroc. | |
| 650 | 6 | |a Politique fiscale |z Maroc. | |
| 650 | 7 | |a Bonds |2 fast | |
| 650 | 7 | |a Economic history |2 fast | |
| 650 | 7 | |a Fiscal policy |2 fast | |
| 650 | 7 | |a Monetary policy |2 fast | |
| 651 | 7 | |a Morocco |2 fast | |
| 700 | 1 | |a García Martínez, Pilar, |e author, |e (IMF staff) | |
| 700 | 1 | |a Kemoe, Laurent, |e author. | |
| 710 | 2 | |a International Monetary Fund. |b Middle East and Central Asia Department, |e publisher. | |
| 776 | 0 | 8 | |i Print version: |a Ahokpossi, Calixte. |t Monetary and Fiscal Policies and the Dynamics of the Yield Curve in Morocco. |d Washington, D.C. : International Monetary Fund, ©2016 |z 9781484365465 |
| 830 | 0 | |a IMF working paper ; |v WP/16/103. | |
| 856 | 4 | 0 | |u https://ebsco.uam.elogim.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1353993 |z Texto completo |
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| 938 | |a EBSCOhost |b EBSC |n 1353993 | ||
| 994 | |a 92 |b IZTAP | ||