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 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. JEL-Klassifizierung: E4, E5, G1
| Author: | Silvio Colarossi, Andrea Zaghini |
|---|---|
| URN: | urn:nbn:de:hebis:30-38801 |
| Series (Serial Number) | CFS working paper series (2007, 16) |
| Document Type: | Working Paper |
| Language: | English |
| Date of Publication (online): | 19.03.2007 |
| Year of first Publication: | 2007 |
| Publishing Institution: | Univ.-Bibliothek Frankfurt am Main |
| SWD-Keyword: | GARCH; Yield Curve ; monetary policy |
| HeBIS PPN: | 190112220 |
| Institutes: | Center for Financial Studies (CFS) |
| Dewey Decimal Classification: | 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Licence (German): |  Veröffentlichungsvertrag für Publikationen ohne Print on Demand |
