Umeå Economic Studies, Department of Economics, Umeå University
Mozambican Monetary Policy and the Yield Curve of Treasury Bills - An Empirical Study
() and Kurt Brännäs
Abstract: While there is a relatively large empirical literature on
the link between monetary policy and yield curve for developed economies,
studies on emerging and developing economies are very rare. This paper
contributes to reducing this gap by studying the effectiveness of monetary
policy in Mozambique. Using monthly data it examines the pass-through of
changes in the policy rate to the yield curve of treasury bills in the
period 2006 - 2015. The main finding is that there is a pass-through from
policy rate to treasury bill. However, the transmission from short to long
term maturities in the yield curve is weak and slow.
Keywords: Mozambique; Factor model; Policy rate; Effect; Estimation; (follow links to similar papers)
JEL-Codes: C32; C51; C58; E43; G20; (follow links to similar papers)
21 pages, December 7, 2015
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