Monetary Policy and Long-term Interest Rate: An Empirical Analysis
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Empirical relations between the inter-bank overnight call rate and long-term interest rates, including 5 year government bond rates, and 3 year AA- corporate bond yields are examined by using the vector error correction modeling and cointegration techniques. The findings from the empirical analysis support the interest rate channel of monetary transmission mechanism through financial markets like the U.S case analysis of Atesoglu (2005). However, even though there are empirically stable long-run relations between the inter-bank overnight call rate and long-term interest rates, we could find the mixed results for causality. The author finds a bi-directional causality runs between CR (inter-bank overnight call rate)and GBR (government bond rate) and a unidirectional causality runs from CR to CBR (corporate bond yield).
Abstract
Empirical relations between the inter-bank overnight call rate and long-term interest rates, including 5 year government bond rates, and 3 year AA- corporate bond yields are examined by using the vector error correction modeling and cointegration techniques. The findings from the empirical analysis support the interest rate channel of monetary transmission mechanism through financial markets like the U.S case analysis of Atesoglu (2005). However, even though there are empirically stable long-run relations between the inter-bank overnight call rate and long-term interest rates, we could find the mixed results for causality. The author finds a bi-directional causality runs between CR (inter-bank overnight call rate)and GBR (government bond rate) and a unidirectional causality runs from CR to CBR (corporate bond yield).
참고문헌 (24)
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