TY  - UNPD
A1  - Colarossi, Silvio
A1  - Zaghini, Andrea
T1  - Gradualism, transparency and improved operational framework : a look at the overnight volatility transmission
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2007,16
N2  - 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.
T3  - CFS working paper series - 2007, 16 
KW  - monetary policy
KW  - Yield Curve
KW  - GARCH
KW  - Zinsfuß
KW  - USA
KW  - Europäische Union
KW  - Währungsunion
KW  - Federal Reserve Bank <New York, NY>
KW  - Europäische Zentralbank
KW  - Geldpolitik
KW  - GARCH-Prozes
Y1  - 2007
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/1521
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-38801
IS  - March 2007
ER  -