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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]
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| Colección: | IMF working paper ;
WP/16/103. |
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- 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.
- 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.