Template-Type: ReDIF-Paper 1.0



Author-Name: Vladislav Abramov

Author-Email: abramovvv01@mail.cbr.ru

Author-Workplace-Name: Bank of Russia, Russian Federation



Author-Name: Konstantin Styrin

Author-Email: styrinka@mail.cbr.ru

Author-Workplace-Name: Bank of Russia, Russian Federation


Author-Name: Alexander Tishin

Author-Email: tishinav@mail.cbr.ru

Author-Workplace-Name: Bank of Russia, Russian Federation





Title:  Monetary Policy and the Yield Curve





Abstract: This paper discusses the impact of monetary policy on financial and macroeconomic variables in Russia. We distinguish two types of monetary policy: 
(1) that causes by changes in the current rates and (2) that causes by any other reason (such as forward guidance, communication, and central bank information). 
We find that these two types have distinct effects on financial variables. The first type better explains the variation of interest rates for the entire yield curve. 
In contrast, the second type explains the variation in the exchange rate and market indices. Moreover, we also show that 
monetary policy transmission from interest rates to inflation takes about one year but this effect is only temporary.







Length: 46 pages

Creation-Date: 2022-05

Revision-Date:

Publication-Status:

File-URL: https://cbr.ru/StaticHtml/File/138521/wp_95.pdf

File-Format: Application/pdf

File-Function:

Number: wps95

Classification-JEL: E52, E58, E43, E44

Keywords: monetary policy surprises, high-frequency identification, principal component analysis

Handle:RePEc:bkr:wpaper:wps95