This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Gradualism, Transparency and Improved Operational Framework: A Look at the Overnight Volatility Transmission Author info | Abstract | Publisher info | Download info | Related research | Statistics Silvio Colarossi () (Banca d'Italia)
Andrea Zaghini () (Banca d'Italia and CFS)
Additional information is available for the following
registered author(s):
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.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by Center for Financial Studies in its series CFS Working Paper Series with number
2007/16.
Download reference. The following formats are available: HTML ,
plain text ,
BibTeX ,
RIS (EndNote),
ReDIF
Length: 27 pages
Date of creation: 09 Mar 2007Date of revision:
Handle: RePEc:cfs:cfswop:wp200716Contact details of provider: Postal: Taunusanlage 6, D-60329 Frankfurt am Main Phone: ++49 (0) 69 242941-0 Fax: ++49 (0) 69 24294177 Email: Web page: http://www.ifk-cfs.de/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Birgit Pässler).
Keywords: Monetary Policy Yield Curve GARCH Find related papers by JEL classification: E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit G1 - Financial Economics - - General Financial Markets
This paper has been announced in the following NEP Reports :
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Eijffinger, Sylvester C.W. & Geraats, Petra M., 2006.
"How transparent are central banks? ,"
European Journal of Political Economy ,
Elsevier, vol. 22(1), pages 1-21, March.
[Downloadable!] (restricted)
Other versions:
Eijffinger, Sylvester C W & Geraats, Petra M, 2002.
"How Transparent are Central Banks? ,"
CEPR Discussion Papers
3188, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Eijffinger, S.C.W. & Geraats, P.M., 2004.
"How Transparent Are Central Banks? ,"
Cambridge Working Papers in Economics
0411, Faculty of Economics, University of Cambridge.
[Downloadable!] Leonardo Bartolini & Giuseppe Bertola & Alessandro Prati, 2000.
"Day-to-day monetary policy and the volatility of the federal funds interest rate ,"
Staff Reports
110, Federal Reserve Bank of New York.
[Downloadable!]
Other versions:
Alessandro Prati & Leonardo Bartolini & Giuseppe Bertola, .
"Day-To-Day Monetary Policy and the Volatility of the Federal Funds Interest Rate ,"
IMF Working Papers
00/206, International Monetary Fund.
Bartolini, Leonardo & Bertola, Giuseppe & Prati, Alessandro, 2002.
"Day-to-Day Monetary Policy and the Volatility of the Federal Funds Interest Rate ,"
Journal of Money, Credit and Banking ,
Blackwell Publishing, vol. 34(1), pages 137-59, February.
Demiralp, Selva & Jorda, Oscar, 2004.
"The Response of Term Rates to Fed Announcements ,"
Journal of Money, Credit and Banking ,
Blackwell Publishing, vol. 36(3), pages 387-405, June.
Andrews, Donald W K & Ploberger, Werner, 1994.
"Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative ,"
Econometrica ,
Econometric Society, vol. 62(6), pages 1383-1414, November.
[Downloadable!] (restricted)
Other versions: Michael Ehrmann & Marcel Fratzscher, 2007.
"Communication by Central Bank Committee Members: Different Strategies, Same Effectiveness? ,"
Journal of Money, Credit and Banking ,
Blackwell Publishing, vol. 39(2-3), pages 509-541, 03.
[Downloadable!] (restricted)
Francisco Alonso & Roberto Blanco, 2005.
"Is the volatility of the EONIA transmitted to longer-term euro money market interest rates? ,"
Banco de España Working Papers
0541, Banco de España.
[Downloadable!]
Bjørn-Roger Wilhelmsen & Andrea Zaghini, 2005.
"Monetary policy predictability in the euro area: An international comparison ,"
Working Paper
2005/7, Norges Bank.
[Downloadable!]
Other versions: Andersen, Torben G. & Bollerslev, Tim, 1997.
"Intraday periodicity and volatility persistence in financial markets ,"
Journal of Empirical Finance ,
Elsevier, vol. 4(2-3), pages 115-158, June.
[Downloadable!] (restricted)
Hartmann, Philipp & Manna, Michele & Manzanares, Andres, 2001.
"The microstructure of the euro money market ,"
Journal of International Money and Finance ,
Elsevier, vol. 20(6), pages 895-948, November.
[Downloadable!] (restricted)
Other versions: Andrew Bauer & Robert A. Eisenbeis & Daniel F. Waggoner & Tao Zha, 2006.
"Transparency, expectations, and forecasts ,"
Working Paper
2006-03, Federal Reserve Bank of Atlanta.
[Downloadable!]
Other versions:
Robert A. Eisenbeis & Andy Bauer & Daniel F. Waggoner & Tao A. Zha, 2006.
"Transparency, expectations, and forecasts ,"
Working Paper Series
637, European Central Bank.
[Downloadable!] Andrew Bauer & Robert A. Eisenbeis & Daniel F. Waggoner & Tao Zha, 2006.
"Transparency, expectations and forecasts ,"
Economic Review ,
Federal Reserve Bank of Atlanta, issue Q 1, pages 1-25.
[Downloadable!] Michael Woodford, 2005.
"Central bank communication and policy effectiveness ,"
Proceedings ,
Federal Reserve Bank of Kansas City, issue Aug, pages 399-474.
[Downloadable!]
Other versions: Bomfim, Antulio N., 2003.
"Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market ,"
Journal of Banking & Finance ,
Elsevier, vol. 27(1), pages 133-151, January.
[Downloadable!] (restricted)
Pilar Abad & Alfonso Novales, 2004.
"Volatility transmission across the term structure of swap markets: international evidence ,"
Applied Financial Economics ,
Taylor and Francis Journals, vol. 14(14), pages 1045-1058, October.
[Downloadable!] (restricted)
Other versions: Selva Demiralp & Brian Preslopsky & William Whitesell, 2004.
"Overnight interbank loan markets ,"
Finance and Economics Discussion Series
2004-29, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Demiralp, Selva & Preslopsky, Brian & Whitesell, William, 2006.
"Overnight interbank loan markets ,"
Journal of Economics and Business ,
Elsevier, vol. 58(1), pages 67-83.
[Downloadable!] (restricted)
Stephen G. Cecchetti & Alfonso Flores-Lagunes & Stefan Krause, 2006.
"Has Monetary Policy become more Efficient? a Cross-Country Analysis ,"
Economic Journal ,
Royal Economic Society, vol. 116(511), pages 408-433, 04.
[Downloadable!] (restricted)
Other versions: Kerstin Bernoth & Jürgen von Hagen, 2004.
"The Euribor Futures Market: Efficiency and the Impact of ECB Policy Announcements ,"
International Finance ,
Blackwell Publishing, vol. 7(1), pages 1-24, 03.
[Downloadable!] (restricted)
Orphanides, Athanasios, 2003.
"Monetary policy evaluation with noisy information ,"
Journal of Monetary Economics ,
Elsevier, vol. 50(3), pages 605-631, April.
[Downloadable!] (restricted)
Other versions: Pagan, Adrian & Ullah, Aman, 1988.
"The Econometric Analysis of Models with Risk Terms ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 3(2), pages 87-105, April.
[Downloadable!] (restricted)
Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993.
"On the relation between the expected value and the volatility of the nominal excess return on stocks ,"
Staff Report
157, Federal Reserve Bank of Minneapolis.
[Downloadable!]
Other versions: Frank Smets & Ignazio Angeloni & Gunter Coenen, 2003.
"Persistence, the Transmission Mechanism and Robust Monetary Policy ,"
Computing in Economics and Finance 2003
137, Society for Computational Economics.
Other versions:
Ignazio Angeloni & Günter Coenen & Frank Smets, 2003.
"Persistence, the transmission mechanism and robust monetary policy ,"
Working Paper Series
250, European Central Bank.
[Downloadable!] Ignazio Angeloni & Gunter Coenen & Frank Smets, 2003.
"Persistence, The Transmission Mechanism And Robust Monetary Policy ,"
Scottish Journal of Political Economy ,
Scottish Economic Society, vol. 50(5), pages 527-549, November.
[Downloadable!] (restricted) Glenn D. Rudebusch, 2001.
"Is The Fed Too Timid? Monetary Policy In An Uncertain World ,"
The Review of Economics and Statistics ,
MIT Press, vol. 83(2), pages 203-217, May.
[Downloadable!] (restricted)
Other versions: Monika Piazzesi, 2005.
"Bond Yields and the Federal Reserve ,"
Journal of Political Economy ,
University of Chicago Press, vol. 113(2), pages 311-344, April.
Otmar Issing, 2005.
"Communication, transparency, accountability: monetary policy in the twenty-first century ,"
Review ,
Federal Reserve Bank of St. Louis, issue Mar, pages 65-83.
[Downloadable!]
Julius Moschitz, 2004.
"The determinants of the overnight interest rate in the euro area ,"
Working Paper Series
393, European Central Bank.
[Downloadable!]
Spence Hilton, 2005.
"Trends in federal funds rate volatility ,"
Current Issues in Economics and Finance ,
Federal Reserve Bank of New York, issue Jul.
[Downloadable!]
Stock, James H & Watson, Mark W, 2002.
"Macroeconomic Forecasting Using Diffusion Indexes ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 20(2), pages 147-62, April.
Bali, Turan G. & Wu, Liuren, 2006.
"A comprehensive analysis of the short-term interest-rate dynamics ,"
Journal of Banking & Finance ,
Elsevier, vol. 30(4), pages 1269-1290, April.
[Downloadable!] (restricted)
Quiros, Gabriel Perez & Mendizabal, Hugo Rodriguez, 2006.
"The Daily Market for Funds in Europe: What Has Changed with the EMU? ,"
Journal of Money, Credit and Banking ,
Blackwell Publishing, vol. 38(1), pages 91-118, February.
[Downloadable!] (restricted)
Other versions: Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity ,"
Journal of Econometrics ,
Elsevier, vol. 31(3), pages 307-327, April.
[Downloadable!] (restricted)
Andersen, Torben G & Bollerslev, Tim, 1998.
"Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts ,"
International Economic Review ,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
Juan Ayuso & Andrew Haldane & Fernando Restoy, 1997.
"Volatility transmission along the money market yield curve ,"
Review of World Economics (Weltwirtschaftliches Archiv) ,
Springer, vol. 133(1), pages 56-75, March.
[Downloadable!] (restricted)
Bartolini, Leonardo & Prati, Alessandro, 2006.
"Cross-country differences in monetary policy execution and money market rates' volatility ,"
European Economic Review ,
Elsevier, vol. 50(2), pages 349-376, February.
[Downloadable!] (restricted)
Other versions: Dieter Nautz & Christian J. Offermanns, 2007.
"The dynamic relationship between the euro overnight rate, the ECB's policy rate and the term spread ,"
International Journal of Finance & Economics ,
John Wiley & Sons, Ltd., vol. 12(3), pages 287-300.
[Downloadable!]
Lange, Joe & Sack, Brian & Whitesell, William, 2003.
" Anticipations of Monetary Policy in Financial Markets ,"
Journal of Money, Credit and Banking ,
Blackwell Publishing, vol. 35(6), pages 889-909, December.
Andrews, Donald W K, 1993.
"Tests for Parameter Instability and Structural Change with Unknown Change Point ,"
Econometrica ,
Econometric Society, vol. 61(4), pages 821-56, July.
[Downloadable!] (restricted)
Other versions: Soderstrom, Ulf, 2002.
" Monetary Policy with Uncertain Parameters ,"
Scandinavian Journal of Economics ,
Blackwell Publishing, vol. 104(1), pages 125-45.
[Downloadable!] (restricted)
Other versions:
Ulf Söderström, 2000.
"Monetary policy with uncertain parameters ,"
Working Paper Series
13, European Central Bank.
[Downloadable!] Söderström, Ulf, 1999.
"Monetary policy with uncertain parameters ,"
Working Paper Series
83, Sveriges Riksbank (Central Bank of Sweden).
[Downloadable!] Söderström, Ulf, 1999.
"Monetary policy with uncertain parameters ,"
Working Paper Series in Economics and Finance
308, Stockholm School of Economics.
[Downloadable!] Lee, Jim, 2006.
"The impact of federal funds target changes on interest rate volatility ,"
International Review of Economics & Finance ,
Elsevier, vol. 15(2), pages 241-259.
[Downloadable!] (restricted)
Engle, Robert F, 1983.
"Estimates of the Variance of U.S. Inflation Based upon the ARCH Model ,"
Journal of Money, Credit and Banking ,
Blackwell Publishing, vol. 15(3), pages 286-301, August.
[Downloadable!] (restricted)
Full
references
Access and
download statistics Did you know? The yearly budget of IDEAS is exactly $0: it relies entirely on volunteer work.
This page was last updated on 2008-8-14.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .