Gradualism, Transparency and the Improved Operational Framework: A Look at Overnight Volatility Transmission
AbstractThis paper proposes a possible way of assessing the effect on interest rate dynamics of changes in the decision-making method, in the communication strategy and in the operational framework of a central bank. Through a generalized autoregressive conditional heteroscedasticity (GARCH) specification, we show that the United States and the 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 policy-making and found empirical evidence to show that the transmission of overnight volatility along the yield curve had entirely disappeared. Copyright 2009 Blackwell Publishing Ltd
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal International Finance.
Volume (Year): 12 (2009)
Issue (Month): 2 (08)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=1367-0271
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- Nautz, Dieter & Scheithauer, Jan, 2010.
"Monetary policy implementation and overnight rate persistence,"
2010/26, Free University Berlin, School of Business & Economics.
- Nautz, Dieter & Scheithauer, Jan, 2011. "Monetary policy implementation and overnight rate persistence," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1375-1386.
- Dieter Nautz & Jan Scheithauer, 2009. "Monetary Policy Implementation and Overnight Rate Persistence," SFB 649 Discussion Papers SFB649DP2009-053, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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