Monetary policy and the yield curve in an emerging market: the Greek case |
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| Affiliation: | 1. Key Laboratory of Petroleum Resources, Gansu Province/Key Laboratory of Petroleum Resources Research, Institute of Geology and Geophysics, Chinese Academy of Sciences, 382 Donggang West Road, Lanzhou, Gansu Province 730000, PR China;2. University of Chinese Academy of Sciences, 19 Yuquan Road, Beijing 100049, PR China;3. Shaanxi Yanchang Petroleum (Group) Co., Ltd., 75 Keji 2 Road, Xi''an, Shaanxi Province 710075, PR China;1. Department of Economics, Michigan State University, East Lansing, MI 48824-1024, USA;2. Department of Finance, Michigan State University, East Lansing, MI 48824-1024, USA;3. School of Economics and Finance, Queen Mary University of London, UK;4. Rimini Center for Economic Analysis, Italy;5. Department of Economics, Kookmin University, Seoul, Republic of Korea |
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| Abstract: | This paper explores the impact of monetary policy actions on the nominal term yield curve in the Greek money market. Essentially, the monetary transmission mechanism is under scrutiny in testing monetary policy effectiveness. We focus on the dynamic inter-relationship between the short-term monetary policy instrument (Overnight rate) and market rates across the term structure. The findings are in accordance with the fact that Expectations Hypothesis monetary policy actions have a significant impact on all market rates; however, the impact is decreasing monotonically with maturity of the interest rate. |
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