Add to ORKGThe paper proposes a possible way of assessing the effect on interest rate dynamics of changes in the decision-making approach, in the communication strategy and in the operational framework of a Central bank. Through a GARCH specification we show that USA and Euro area displayed a limited but significant spillover of volatility from money market to longer-term rates. We then checked the stability of this phenomenon in the most recent period of improved policymaking and found empirical evidence that the transmission of overnight volatility along the yield curve vanished soon after specific policy changes by the FED and ECB
We study the interbank markets for overnight loans of the major industrial countries, linking the be...
This paper analyses the volatility of euro money market interest rates and tests for the existence o...
Overnight money market rates are the predominant operational target of monetary policy. As a consequ...
This paper proposes a possible way of assessing the effect of interest rate dynamics on changes in t...
This paper proposes a possible way of assessing the effect of interest rate dynamics on changes in t...
This paper proposes a possible way of assessing the effect on interest rate dynamics of changes in t...
This paper examines the degree to which volatility in overnight interest rates leads to volatility i...
Central banks typically control an overnight interest rate as their policy tool, and the transmissio...
This note investigates the transmission of volatility from longer maturities to the overnight segmen...
The European overnight rate (Eonia) is the operational target of the European Central Bank (ECB) tha...
This paper studies the effects of monetary policy implementation on the euro area money market. In p...
This study uses a GARCH model to estimate conditional volatility in the Indian overnight money marke...
This paper investigates the behavior of agents in the United States money and Fed funds markets for ...
In this paper we look to model the volatility of money market interest rates -and the transmission o...
Overnight money market rates are the predominant operational target of monetary policy. As a consequ...
We study the interbank markets for overnight loans of the major industrial countries, linking the be...
This paper analyses the volatility of euro money market interest rates and tests for the existence o...
Overnight money market rates are the predominant operational target of monetary policy. As a consequ...
This paper proposes a possible way of assessing the effect of interest rate dynamics on changes in t...
This paper proposes a possible way of assessing the effect of interest rate dynamics on changes in t...
This paper proposes a possible way of assessing the effect on interest rate dynamics of changes in t...
This paper examines the degree to which volatility in overnight interest rates leads to volatility i...
Central banks typically control an overnight interest rate as their policy tool, and the transmissio...
This note investigates the transmission of volatility from longer maturities to the overnight segmen...
The European overnight rate (Eonia) is the operational target of the European Central Bank (ECB) tha...
This paper studies the effects of monetary policy implementation on the euro area money market. In p...
This study uses a GARCH model to estimate conditional volatility in the Indian overnight money marke...
This paper investigates the behavior of agents in the United States money and Fed funds markets for ...
In this paper we look to model the volatility of money market interest rates -and the transmission o...
Overnight money market rates are the predominant operational target of monetary policy. As a consequ...
We study the interbank markets for overnight loans of the major industrial countries, linking the be...
This paper analyses the volatility of euro money market interest rates and tests for the existence o...
Overnight money market rates are the predominant operational target of monetary policy. As a consequ...