This paper examines the Treasury bond yields response to monetary policy shocks in Tunisia under a heterogeneous economic environment. Using a traditional fixed coefficient model, we first estimate the impact of monetary policy changes on the term structure of interest rates for the whole period from January 2006 to December 2016. We then study the stability of this relationship by distinguishing two sub-periods around the revolution of January 2011. To investigate how the relationship between the monetary policy and the Treasury yield curve evolves over time, we estimate a time-varying parameter model. The results show that the impact of monetary policy is more pronounced at the short end of the yield curve relative to the longer end. Further, this impact declined significantly across all maturities following the revolution and exhibits wide time variation. This evidence supports the negative influence of high levels of uncertainty on monetary policy effectiveness and highlights the desirability of more active monetary policy especially in turbulent environment

中文翻译：

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国债收益率对货币政策冲击的时变响应

本文考察了在异构经济环境下突尼斯货币政策冲击对国债收益率的反应。使用传统的固定系数模型，我们首先估算货币政策变化对2006年1月至2016年12月整个期间利率期限结构的影响。然后，我们通过区分围绕货币政策变化的两个子周期来研究这种关系的稳定性。为了研究货币政策与美国国债收益率曲线之间的关系如何随时间演变，我们估计了一个时变参数模型。结果表明，相对于较长的期限，货币政策的影响在收益率曲线的较短的一端更为明显。进一步，革命后，这种影响在所有到期日都显着下降，并且表现出较大的时间变化。该证据支持高度不确定性对货币政策有效性的负面影响，并强调了更积极的货币政策的可取性，尤其是在动荡的环境中