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The cyclical volatility of interest rates

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  • Keith Sill

Abstract

Interest rates change in response to a variety of economic events, such as changes in Fed policy, crises in financial markets, and changes in prospects for long-term economic growth and inflation. But such events are sporadic, and interest rates show a more regular pattern of volatility that corresponds to the business cycle. In this article, Keith Sill examines some facts and theory about the cyclical volatility of short-term and long-term interest rates.

Suggested Citation

  • Keith Sill, 1996. "The cyclical volatility of interest rates," Business Review, Federal Reserve Bank of Philadelphia, issue Jan, pages 15-29.
    • Handle: RePEc:fip:fedpbr:y:1996:i:jan:p:15-29
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    File URL: https://www.philadelphiafed.org/-/media/frbp/assets/economy/articles/business-review/1996/january-february/brjf96ks.pdf
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    Cited by:

    1. Fendel, Ralf & Neumann, Christian, 2021. "Tail risk in the European sovereign bond market during the financial crises: Detecting the influence of the European Central Bank," Global Finance Journal, Elsevier, vol. 50(C).
    2. Xian, Lu & He, Kaijian & Lai, Kin Keung, 2016. "Gold price analysis based on ensemble empirical model decomposition and independent component analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 454(C), pages 11-23.
    3. Hugo Oliveros C., 1998. "Modelos De Duración:Una Aplicación En El Caso De La Inflacíón Y La Tasa De Interés," Borradores de Economia 3241, Banco de la Republica.

    More about this item

    Keywords

    Interest rates; Business cycles;

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