The monetary pass: through effect to interest rates

Detalhes bibliográficos
Autor(a) principal: Hjorth, Oskar Stavland
Data de Publicação: 2017
Tipo de documento: Dissertação
Idioma: por
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10071/16370
Resumo: The monetary pass-through effect to interest rates is a topic that have caught economists attention for a long time. The matter did not receive less consideration during the financial chaos, which arose in the late 2007. How money market interest rates responded to a policy rate adjustment, was more crucial during the financial crisis than never before. Whether the financial crisis disturbed the policy rate pass-through effect was therefore a central question appearing in the aftermath of the crisis. In order to grasp the policy rate pass-through effect, recent studies highlight the importance of excluding monetary expectations. Interest rate reactions, due to policy adjustment, are likely to be mitigated if the policy change is correctly predicted by the market. By separating between the expected and unexpected portion of the Norwegian policy rate, I study one-day fluctuations in various Norwegian interest rates, before and after a policy rate announcement. Moreover, I examine whether the financial crisis disturbed the relationship between these interest rates. Results indicate a strong relation between the Norwegian policy rate and short-term interest rates. This relationship seems to be unaffected by the financial crisis. Further, the relation between the policy rate and long-term interest rates appears to be weaker. Long-term rates seem to rather follow foreign yields.
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spelling The monetary pass: through effect to interest ratesPass-throughInterest ratesFinancial marketsAnnouncementsTaxa de juroPolítica monetáriaMercado financeiroAnúnciosThe monetary pass-through effect to interest rates is a topic that have caught economists attention for a long time. The matter did not receive less consideration during the financial chaos, which arose in the late 2007. How money market interest rates responded to a policy rate adjustment, was more crucial during the financial crisis than never before. Whether the financial crisis disturbed the policy rate pass-through effect was therefore a central question appearing in the aftermath of the crisis. In order to grasp the policy rate pass-through effect, recent studies highlight the importance of excluding monetary expectations. Interest rate reactions, due to policy adjustment, are likely to be mitigated if the policy change is correctly predicted by the market. By separating between the expected and unexpected portion of the Norwegian policy rate, I study one-day fluctuations in various Norwegian interest rates, before and after a policy rate announcement. Moreover, I examine whether the financial crisis disturbed the relationship between these interest rates. Results indicate a strong relation between the Norwegian policy rate and short-term interest rates. This relationship seems to be unaffected by the financial crisis. Further, the relation between the policy rate and long-term interest rates appears to be weaker. Long-term rates seem to rather follow foreign yields.O efeito da política monetária nas taxas de juros é um tópico tem chamado a atenção dos economistas há longo tempo. O assunto não recebeu menos consideração durante o caos financeiro, que surgiu no final de 2007. A resposta das taxas de juro do mercado monetário a um ajuste da taxa de referência do banco central foi crucial durante a crise financeira. Se a crise financeira perturbou o efeito da política monetária é uma questão central que apareceu no rescaldo da crise. Estudos recentes destacam que para entender o efeito da política monetária é importante excluir as expectativas. As reações da taxa de juro a um ajuste da política monetária, provavelmente serão mitigadas se a mudança de política for corretamente prevista pelo mercado. Ao separar entre a parte esperada e inesperada da taxa de referência da política monetária norueguesa, vou estudar as flutuações diárias em várias taxas de juro noruegueses, antes e depois de um anúncio de taxa de política monetária. Além disso, examino se a crise financeira perturbou a relação entre essas taxas de juros. Os resultados indicam uma forte relação entre a taxa de referência norueguesa e as taxas de juros de curto prazo. Esta relação parece não ser afetada pela crise financeira. Além disso, a relação entre a taxa de referência e as taxas de juro de longo prazo parece ser mais fraca. As taxas de longo prazo parecem seguir as taxas de juro estrangeiras.2018-07-13T13:43:41Z2017-12-20T00:00:00Z2017-12-202017-10info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfapplication/octet-streamhttp://hdl.handle.net/10071/16370TID:201791358porHjorth, Oskar Stavlandinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T17:57:44Zoai:repositorio.iscte-iul.pt:10071/16370Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:29:51.733188Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv The monetary pass: through effect to interest rates
title The monetary pass: through effect to interest rates
spellingShingle The monetary pass: through effect to interest rates
Hjorth, Oskar Stavland
Pass-through
Interest rates
Financial markets
Announcements
Taxa de juro
Política monetária
Mercado financeiro
Anúncios
title_short The monetary pass: through effect to interest rates
title_full The monetary pass: through effect to interest rates
title_fullStr The monetary pass: through effect to interest rates
title_full_unstemmed The monetary pass: through effect to interest rates
title_sort The monetary pass: through effect to interest rates
author Hjorth, Oskar Stavland
author_facet Hjorth, Oskar Stavland
author_role author
dc.contributor.author.fl_str_mv Hjorth, Oskar Stavland
dc.subject.por.fl_str_mv Pass-through
Interest rates
Financial markets
Announcements
Taxa de juro
Política monetária
Mercado financeiro
Anúncios
topic Pass-through
Interest rates
Financial markets
Announcements
Taxa de juro
Política monetária
Mercado financeiro
Anúncios
description The monetary pass-through effect to interest rates is a topic that have caught economists attention for a long time. The matter did not receive less consideration during the financial chaos, which arose in the late 2007. How money market interest rates responded to a policy rate adjustment, was more crucial during the financial crisis than never before. Whether the financial crisis disturbed the policy rate pass-through effect was therefore a central question appearing in the aftermath of the crisis. In order to grasp the policy rate pass-through effect, recent studies highlight the importance of excluding monetary expectations. Interest rate reactions, due to policy adjustment, are likely to be mitigated if the policy change is correctly predicted by the market. By separating between the expected and unexpected portion of the Norwegian policy rate, I study one-day fluctuations in various Norwegian interest rates, before and after a policy rate announcement. Moreover, I examine whether the financial crisis disturbed the relationship between these interest rates. Results indicate a strong relation between the Norwegian policy rate and short-term interest rates. This relationship seems to be unaffected by the financial crisis. Further, the relation between the policy rate and long-term interest rates appears to be weaker. Long-term rates seem to rather follow foreign yields.
publishDate 2017
dc.date.none.fl_str_mv 2017-12-20T00:00:00Z
2017-12-20
2017-10
2018-07-13T13:43:41Z
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