Scandinavian Working Papers in Economics

Umeå Economic Studies,
Umeå University, Department of Economics

No 918: Mozambican Monetary Policy and the Yield Curve of Treasury Bills - An Empirical Study

Agostinho Machava () and Kurt Brännäs ()
Additional contact information
Agostinho Machava: Department of Economics, Umeå University, Postal: Department of Economics, Umeå University, S 901 87 Umeå, Sweden
Kurt Brännäs: Department of Economics, Umeå University, Postal: Department of Economics, Umeå University, S 901 87 Umeå, Sweden

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

JEL-codes: C32; C51; C58; E43; G20

21 pages, December 7, 2015

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