The monetary pass: through effect to interest rates

• 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
• topic: Pass-through; Interest rates; Financial markets; Announcements; Taxa de juro; Política monetária; Mercado financeiro; Anúncios

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.