000	02734nam  2200337zi 4500
001	9.895666
003	CaOODSP
005	20221107174106
006	m     o  d f
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008	210125e20210121onca    ob   f000 0 eng d
040	|aCaOODSP|beng|erda|cCaOODSP
086	1 |aFB3-5/2021-4E-PDF
100	1 |aDahlhaus, Tatjana, |eauthor.
245	10|aNetworking the yield curve : |bimplications for monetary policy / |cby Tatjana Dahlhaus, Julia Schaumburg and Tatevik Sekhposyan.
264	1|aOttawa, Ontario, Canada : |bBank of Canada = Banque du Canada, |cJanuary 21, 2021.
264	4|c©2021
300	|a1 online resource (ii, 32 pages) : |billustrations (some colour).
336	|atext|btxt|2rdacontent
337	|acomputer|bc|2rdamedia
338	|aonline resource|bcr|2rdacarrier
490	1 |aStaff working paper = |aDocument de travail du personnel, |x1701-9397 ; |v2021-4
504	|aIncludes bibliographical references (pages 19-20).
520	3 |a"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.
650	0|aMonetary policy|xEconometric models.
650	0|aInterest rates|xEconometric models.
650	6|aPolitique monétaire|xModèles économétriques.
650	6|aTaux d'intérêt|xModèles économétriques.
710	2 |aBank of Canada, |eissuing body.
830	#0|aStaff working paper (Bank of Canada)|v2021-4.|w(CaOODSP)9.806221
856	40|qPDF|s854 KB|uhttps://publications.gc.ca/collections/collection_2021/banque-bank-canada/FB3-5-2021-4-eng.pdf