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Monetary surprises and term structure of interest rates: Identification through heteroscedasticity

Volgo-Vyatka Main Branch of Bank of Russia et al.

Applied Econometrics2024https://doi.org/10.22394/1993-7601-2024-74-5-34article
ABDC C
Weight
0.30

What the paper says

How does an unexpected change in the Bank of Russia key rate affect the bond market? This article quantifies the impact of monetary surprises on government bond yields of various maturities. To estimate the causal effect with the joint dynamics of the key rate and bond yields (that is, to solve the problem of endogenous bias), we use the heteroscedasticity-driven identification method that requires weaker assumptions than other alternative methods used in the literature. The results confirm the significant impact of monetary policy surprises on the interest rate term structure, with a greater effect on short-term rates. In contrast to previous studies, the behavior of long-term rates is consistent with the expectations hypothesis: risk premia do not respond significantly to a monetary shock.

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https://doi.org/https://doi.org/10.22394/1993-7601-2024-74-5-34

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@article{volgo-vyatka2024,
  title        = {{Monetary surprises and term structure of interest rates: Identification through heteroscedasticity}},
  author       = {Volgo-Vyatka Main Branch of Bank of Russia et al.},
  journal      = {Applied Econometrics},
  year         = {2024},
  doi          = {https://doi.org/https://doi.org/10.22394/1993-7601-2024-74-5-34},
}

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Monetary surprises and term structure of interest rates: Identification through heteroscedasticity

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Evidence weight

0.30

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.00 × 0.4 = 0.00
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.