Monetary Policy and the Yield Curve
Vladislav Abramov, Konstantin Styrin and Alexander Tishin
This paper discusses the impact of monetary policy on financial and macroeconomic variables in Russia. We distinguish two types of monetary policy: (1) that causes by changes in the current rates and (2) that causes by any other reason (such as forward guidance, communication, and central bank information). We find that these two types have distinct effects on financial variables. The first type better explains the variation of interest rates for the entire yield curve. In contrast, the second type explains the variation in the exchange rate and market indices. Moreover, we also show that monetary policy transmission from interest rates to inflation takes about one year but this effect is only temporary.