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Asymmetries in Yield Curves: Some Empirical Evidence from Ghana

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  • Njindan Iyke, Bernard

Abstract

We analyze the co-movements of the monetary policy rates (MPR) and the treasury bill rates (TBR) in Ghana over the period January 2007 to July 2016, using three nonlinear econometric techniques. We find the MPR and the TBR to be cointegrated with threshold adjustments. Positive deviations from the long-term equilibrium due to increases in the MPR or decreases in the TBR are corrected at 0.3% monthly. Negative deviations from the long-term equilibrium due to decreases in the MPR or increases in TBR are corrected at 8.8% monthly. Our results show bidirectional causal flow between MPR and TBR. In addition, we find positive deviations in the TBR to be corrected at 0.34% monthly, while negative deviations are corrected at 8.6% monthly, in the short term. Thus, the TBR responds faster to negative than positive deviations. These findings are broadly consistent with the inflation-targeting framework of the Bank of Ghana.

Suggested Citation

  • Njindan Iyke, Bernard, 2017. "Asymmetries in Yield Curves: Some Empirical Evidence from Ghana," MPRA Paper 79155, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:79155
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    More about this item

    Keywords

    Asymmetric Adjustments; Threshold Cointegration; Nonlinear Causality; Yield Curves; Ghana;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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