سیاست های پولی و منحنی بازده در بازار در حال ظهور: موردی از یونان

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.

The monetary policy and nominal term structure nexus has been very often at the centre of academic debate. For instance, Bernanke and Blinder (1992), Estrella and Hardouvelis (1991), and Mishkin (1990) use the slope of the yield curve as an indicator of the monetary policy stance. In general, conventional economic theory dictates that monetary policy actions are transmitted to the economy via their effect on market interest rates. In particular, monetary authorities use a short-term rate as its main operating instrument. Typically, the monetary policy instrument is the interbank lending rate for Overnight loans (hereafter, the Overnight rate). Real economic activity, however, such as investment and consumption, is typically thought to depend on long-term interest rates. Therefore, the effectiveness of monetary policy is heavily dependent on whether it can exert any influence on long-term rates. In other words, the monetary policy transmission mechanism takes place through the relationship between short-term (the instrument) and long-term rates. The effectiveness of monetary policy actions depends on how closely linked short- and long-term rates are. In other words, monetary policy should be able to affect the entire spectrum of maturities in order to achieve its goal, that is, affect real activity. The standard view of the transmission mechanism is relatively straightforward. Provided that the term structure of nominal rates is adequately described by the Expectations Hypothesis (EH, hereafter), long rates are a weighted average of current and expected future short-term rates (Lutz, 1940 and Shiller, 1990). By manipulating the current short-term rate, monetary authorities alter expected future short-term rates and therefore, affect long-term rates as well. Thus, if the EH is valid, monetary policy actions should cause a parallel shift of the yield curve without altering its slope. There are two strands of literature that have investigated the impact of monetary policy actions on the yield curve. The first has mainly explored whether the dynamics of the term structure is consistent with the EH (Cuthbertson, 1996, Hsu and Kugler, 1997 and Jondeau and Ricart, 1999). The findings show that even though the EH is very often (statistically) rejected, it can explain, partly at least, the behaviour of market rates. The second strand of the literature has focused on quantifying the direct effect of monetary policy actions on the yield curve, and mainly takes the form of event study analyses (Cook and Hahn, 1988, Cook and Hahn, 1989, Dale, 1993, Roley and Sellon, 1995, Rudebusch, 1995, Thornton, 1998 and Thornton, 2000). Also, a number of studies have explored the same issue in a time series context (Buttiglione et al., 1998 and Haldane and Read, 2000). The findings are that monetary policy is able to affect interest rates; however, its impact weakens as maturities become longer, and at the very long end of the yield curve it may even become insignificant. The studies cited above exclusively focus on developed countries with mature money markets. However, the effectiveness of economic policy and monetary policy in particular, are even more important for emerging markets such as in Greece. Monetary policy, apart from its stabilising effects around the business cycle, also and more importantly, provides a strong signalling content on the medium- and long-term monetary policy stance. In the Greek case for instance, the Bank of Greece's long-term target is to fight inflation and attain price stability in accordance with the European Union directives. Therefore, studying the monetary policy transmission mechanism is of great significance, as it will provide insights about the role of monetary policy in the development process. The present study will investigate the monetary policy transmission mechanism in Greece by essentially addressing the following questions. • Firstly, as far as the Greek money market is concerned, do changes in monetary policy have a significant impact on the term structure of nominal interest rates? • Secondly, if indeed the impact is significant, is it quantitatively the same across the yield curve? In other words, does monetary policy affect the short-, medium- and the long-term segments of the yield curve in the same way or do differences exist? Addressing these two questions will assist in assessing the effectiveness of monetary policy in Greece and will also provide evidence for the transmission mechanism outside the group of industrial countries. The latter will allow for a comparison of the transmission mechanisms between money markets of different depth and maturity. The paper will be organised as follows. Section 2 will briefly discuss the Expectations Hypothesis and its role in the monetary policy transmission mechanism. Section 3 will summarise the data employed. Section 4 will outline the econometric methodology. Section 5 will present and discuss the empirical findings and finally, Section 6 will conclude

The study addressed a number of questions regarding the relationship between monetary policy actions and its effects on the yield curve in the Greek money market. In particular, as a means of exploring the monetary policy transmission mechanism, the long-run relationship between the Overnight rate (policy instrument) and market rates across the term structure was under scrutiny. Within the context of the EH, long-run co-movement between the policy instrument and market rates was investigated by testing for co-integration between them. Co-integration was not rejected in all cases implying that monetary policy actions do indeed, exert an impact on the entire maturity spectrum of the yield curve. However, the magnitude of the effect decreases monotonically with maturity suggesting that monetary policy actions alter the slope of the yield curve instead of causing parallel shifts. Furthermore, as a means of cross-checking, principal components analysis was employed in order to explore the number of factors ‘driving’ nominal rates across the term structure. The findings suggest that two factors account for the variation in nominal rates. Additionally, inspection of the factor loadings showed that one of the factors is a dominant ‘driving’ force of the short-end, whereas the other one of the long-end of the yield curve. A simple, rather indirect, identification procedure revealed that the factor associated with the short rates is highly correlated with the monetary policy instrument. This result verifies and reinforces the co-integration findings. To conclude, the monetary policy transmission in Greece seems to be very similar to that in industrial countries. Monetary authorities can affect the yield curve in order to achieve their goals, but their power to do so weakens the further the targeted rate lies in the maturity spectrum.