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Monetary policy implications of volatility linkages among long-term interest rates

Listed author(s):
  • Nikiforos Laopodis

    ()

This paper investigates the implications for monetary policy from the increasing integration of capital markets using interest rates. The methodology is a multivariate EGARCH model, which captures the spillover mechanism across markets. The results indicate that since 1990 there have been stronger volatility linkages among markets. Evidence that globalization has influenced the behavior of interest rates is suggested from the way disturbances in a market spill over to other markets, thereby affecting the monetary policy conduct in all markets. As investors now have more information about global bonds, their concerted actions generate more volatility as they continuously rebalance their portfolios. Copyright Springer 2000

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File URL: http://hdl.handle.net/10.1007/BF02752710
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Article provided by Springer & Academy of Economics and Finance in its journal Journal of Economics and Finance.

Volume (Year): 24 (2000)
Issue (Month): 2 (June)
Pages: 160-177

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Handle: RePEc:spr:jecfin:v:24:y:2000:i:2:p:160-177
DOI: 10.1007/BF02752710
Contact details of provider: Web page: http://www.springer.com

Web page: http://economics-finance.org/

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Order Information: Web: http://www.springer.com/economics/journal/12197/PS2

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  1. Karfakis, Costas J & Moschos, Demetrios M, 1990. "Interest Rate Linkages within the European Monetary System: A Time Series Analysis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 22(3), pages 389-394, August.
  2. Bryant, R.C. & Helliwell, J.F. & Hooper, P., 1989. "Domestic And Cross-Border Consequences Of U.S. Macroeconomic Policies," Papers 68, Brookings Institution - Working Papers.
  3. Uctum, Merih, 1999. "European integration and asymmetry in the EMS," Journal of International Money and Finance, Elsevier, vol. 18(5), pages 769-798, October.
  4. Michele Fratianni & Juergen Hagen, 1990. "German dominance in the EMS," Open Economies Review, Springer, vol. 1(1), pages 67-87, February.
  5. repec:syd:wpaper:144 is not listed on IDEAS
  6. Hsieh, David A, 1989. "Modeling Heteroscedasticity in Daily Foreign-Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(3), pages 307-317, July.
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