00000nam 2200000zi 4500 9.895666 CaOODSP 20221107174106 m o d f cr mn||||||||| 210125e20210121onca ob f000 0 eng d CaOODSP eng rda CaOODSP FB3-5/2021-4E-PDF Dahlhaus, Tatjana, author. Networking the yield curve : implications for monetary policy / by Tatjana Dahlhaus, Julia Schaumburg and Tatevik Sekhposyan. Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, January 21, 2021. ©2021 1 online resource (ii, 32 pages) : illustrations (some colour). text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff working paper = Document de travail du personnel, 1701-9397 ; 2021-4 Includes bibliographical references (pages 19-20). "We introduce a flexible, time-varying network model to trace the propagation of interest rate surprises across different maturities. First, we develop a novel econometric framework that allows for unknown, potentially asymmetric contemporaneous spillovers across panel units and establish the finite sample properties of the model via simulations. Second, we employ this innovative framework to jointly model the dynamics of interest rate surprises and to assess how various monetary policy actions—for example, short-term, long-term interest rate targeting and forward guidance—propagate across the yield curve. We find that the network of interest rate surprises is indeed asymmetric and defined by spillovers between adjacent maturities. Spillover intensity is high on average but shows strong time variation. Forward guidance is an important driver of the spillover intensity. Pass-through from short-term interest rate surprises to longer maturities is muted, yet there are stronger spillovers associated with surprises at medium- and long-term maturities. We illustrate how our proposed framework helps our understanding of the ways various dimensions of monetary policy propagate through the yield curve and interact with each other"--Abstract, page ii. Monetary policy Econometric models. Interest rates Econometric models. Politique monétaire Modèles économétriques. Taux d'intérêt Modèles économétriques. Bank of Canada, issuing body. Staff working paper (Bank of Canada) 2021-4. (CaOODSP)9.806221 PDF 854 KB https://publications.gc.ca/collections/collection_2021/banque-bank-canada/FB3-5-2021-4-eng.pdf