Monettary Policy and Long-term Interest Rate: A Reappraisal
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Empirical relations between the inter-bank overnight call rate(CR) and long-term interest rates, including 5 year government bond rates(GBR), and 3 year AAcorporate bond yields(CBR) are examined by using the vector error correction modeling and cointegration techniques, with quarterly data. The findings from the empirical analysis support the interest rate channel of monetary transmission mechanism through financial markets like Kim(2011). Also, we could find the mixed results for causality, even though there are empirically stable long-run relations between the inter-bank overnight call rate and long-term interest rates, as in Kim(2011). The authors find a bi-directional causality runs between CR and CBR and a unidirectional causality runs from CR to GBR, and, thus, cannot confirm the argument of Fontana(2003).
Abstract
Empirical relations between the inter-bank overnight call rate(CR) and long-term interest rates, including 5 year government bond rates(GBR), and 3 year AAcorporate bond yields(CBR) are examined by using the vector error correction modeling and cointegration techniques, with quarterly data. The findings from the empirical analysis support the interest rate channel of monetary transmission mechanism through financial markets like Kim(2011). Also, we could find the mixed results for causality, even though there are empirically stable long-run relations between the inter-bank overnight call rate and long-term interest rates, as in Kim(2011). The authors find a bi-directional causality runs between CR and CBR and a unidirectional causality runs from CR to GBR, and, thus, cannot confirm the argument of Fontana(2003).
참고문헌 (25)
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