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The Volatility of Greek Interbank Rates: A Continuous Time Analysis

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  • K. Ben Nowman
  • Sotiris K. Staikouras

Abstract

In this paper we investigate the relationship between the volatility of Greek interbank rates and the level of rates by estimating the important CKLS interest rate model using the estimation method of (Nowman, 1997). We also estimate the interest rate models of Merton, Vasicek, CIRSR, Dothan, GBM, Brennan and Schwartz, CIRVR and CEV models. We find the volatility of short-term rates is highly sensitive to the level of rates in Greece and is much higher than is usually assumed by these commonly used models in the financial markets.

Suggested Citation

  • K. Ben Nowman & Sotiris K. Staikouras, 1998. "The Volatility of Greek Interbank Rates: A Continuous Time Analysis," European Research Studies Journal, European Research Studies Journal, vol. 0(2), pages 5-14, April - J.
    • Handle: RePEc:ers:journl:v:i:y:1998:i:2:p:5-14
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    Cited by:

    1. Staikouras, Sotiris K., 2006. "Testing the stabilization hypothesis in the UK short-term interest rates: Evidence from a GARCH-X model," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(2), pages 169-189, May.

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