Gradualism, transparency and improved operational framework : a look at the overnight volatility transmission

This paper proposes a possible way of assessing the effect of interest rate dynamics on changes in the decision-making approach, communication strategy and operational framework of a Central bank. Through a GARCH specifi
This paper proposes a possible way of assessing the effect of interest rate dynamics on changes in the decision-making approach, communication strategy and operational framework of a Central bank. Through a GARCH specification we show that the 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 of the FED and ECB.
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Metadaten
Author:Silvio Colarossi, Andrea Zaghini
URN:urn:nbn:de:hebis:30-38801
Parent Title (German):Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2007,16
Series (Serial Number):CFS working paper series (2007, 16)
Document Type:Working Paper
Language:English
Year of Completion:2007
Year of first Publication:2007
Publishing Institution:Univ.-Bibliothek Frankfurt am Main
Release Date:2007/03/19
SWD-Keyword:Europäische Union; Europäische Zentralbank; Federal Reserve Bank <New York, NY>; GARCH; GARCH-Prozes; Geldpolitik; USA; Währungsunion; Yield Curve; Zinsfuß; monetary policy
Issue:March 2007
HeBIS PPN:190112220
Institutes:Center for Financial Studies (CFS)
Dewey Decimal Classification:330 Wirtschaft
JEL-Classification:E4 Money and Interest Rates
E5 Monetary Policy, Central Banking, and the Supply of Money and Credit
G1 General Financial Markets
Sammlungen:Universitätspublikationen
Licence (German):License Logo Veröffentlichungsvertrag für Publikationen

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