Volatility transmission along the money market yield curve
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
- Ben Bernanke & Frederic Mishkin, 1992.
"Central Bank Behavior and the Strategy of Monetary Policy: Observations from Six Industrialized Countries,"
NBER Chapters,in: NBER Macroeconomics Annual 1992, Volume 7, pages 183-238
National Bureau of Economic Research, Inc.
- Ben Bernanke & Frederic Mishkin, 1992. "Central Bank Behavior and the Strategy of Monetary Policy: Observations From Six Industrialized Countries," NBER Working Papers 4082, National Bureau of Economic Research, Inc.
- Artus, P. & Avouyi-Dovi, S. & Bleuze, E. & Lecointe, F., 1991. "Transmission of U.S. monetary policy to Europe and asymmetry in the European monetary system," European Economic Review, Elsevier, vol. 35(7), pages 1369-1384, October.
- Goodhart, Charles, 1989. "The Conduct of Monetary Policy," Economic Journal, Royal Economic Society, vol. 99(396), pages 293-346, June.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Lee, Jim, 2002. "Federal funds rate target changes and interest rate volatility," Journal of Economics and Business, Elsevier, vol. 54(2), pages 159-191.
- Filippo COSSETTI & Francesco GUIDI, 2009. "ECB Monetary Policy and Term Structure of Interest Rates in the Euro Area: an Empirical Analysis," Working Papers 334, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
- Caroline Jardet & Gaelle Le Fol, 2010.
"Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework,"
International Journal of Finance & Economics,
John Wiley & Sons, Ltd., vol. 15(4), pages 316-330.
- Jardet, C. & Le Fol, G., 2007. "Euro money market interest rates dynamics and volatility: How they respond to recent changes in the operational framework," Working papers 167, Banque de France.
- Anne Vila Wetherilt, 2003. "Money market operations and volatility of UK money market rates," Bank of England working papers 174, Bank of England.
- Avouyi-Dovi, S. & Jondeau, E., 1999. "Interest Rate Transmission and Volatility Transmission along the Yield Curve," Working papers 57, Banque de France.
- Cassola, Nuno & Morana, Claudio, 2010.
"Comovements in volatility in the euro money market,"
Journal of International Money and Finance,
Elsevier, vol. 29(3), pages 525-539, April.
- Cassola, Nuno & Morana, Claudio, 2006. "Comovements in volatility in the euro money market," Working Paper Series 703, European Central Bank.
- Nuno Cassola & Claudio Morana, 2007. "Comovements in Volatility in the Euro Money Market," ICER Working Papers 7-2007, ICER - International Centre for Economic Research.
- Mandler, Martin, 2007.
"Decomposing Federal Funds Rate forecast uncertainty using real-time data,"
13498, University Library of Munich, Germany, revised Jan 2009.
- Martin Mandler, 2009. "Decomposing Federal Funds Rate forecast uncertainty using real-time data," MAGKS Papers on Economics 200947, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Julius Moschitz, 2004. "Monetary Policy Implementation and Volatility in the Euro Area Money Market," Money Macro and Finance (MMF) Research Group Conference 2004 95, Money Macro and Finance Research Group.
- repec:bla:sajeco:v:85:y:2017:i:3:p:455-478 is not listed on IDEAS
- Anne Vila Wetherilt, 2003. "Money market operations and short-term interest rate volatility in the United Kingdom," Applied Financial Economics, Taylor & Francis Journals, vol. 13(10), pages 701-719.
- Francisco Alonso & Roberto Blanco, 2005. "Is the volatility of the EONIA transmitted to longer-term euro money market interest rates?," Working Papers 0541, Banco de España;Working Papers Homepage.
- Mandler, Martin, 2007. "The Taylor rule and interest rate uncertainty in the U.S. 1955-2006," MPRA Paper 2340, University Library of Munich, Germany.
- Pilar Abad & Alfonso Novales, 2004.
"Volatility transmission across the term structure of swap markets: international evidence,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 14(14), pages 1045-1058.
- Pilar Abad & Alfonso Novales, 2002. "Volatility Transmission acros the Term Structure of Swap Markets: International Evidence," Documentos de Trabajo del ICAE 0220, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Osborne, Matthew, 2016. "Monetary policy and volatility in the sterling money market," Bank of England working papers 588, Bank of England.
- Bindseil, Ulrich & Nyborg, Kjell G., 2007. "Monetary policy implementation: A European Perspective," Discussion Papers 2007/10, Norwegian School of Economics, Department of Business and Management Science.
- Nautz, Dieter & Schmidt, Sandra, 2009.
"Monetary policy implementation and the federal funds rate,"
Journal of Banking & Finance,
Elsevier, vol. 33(7), pages 1274-1284, July.
- Nautz, Dieter & Schmidt, Sandra, 2008. "Monetary Policy Implementation and the Federal Funds Rate," ZEW Discussion Papers 08-025, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
- Bindseil, Ulrich, 2004. "The operational target of monetary policy and the rise and fall of reserve position doctrine," Working Paper Series 372, European Central Bank.
- Nautz, Dieter & Offermanns, Christian J., 2008. "Volatility transmission in the European money market," The North American Journal of Economics and Finance, Elsevier, vol. 19(1), pages 23-39, March.
- 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.
- Bank for International Settlements, 2006. "The recent behaviour of financial market volatility," BIS Papers, Bank for International Settlements, number 29, february.
- repec:eeb:articl:v:3:y:2017:n:1:p:28-47 is not listed on IDEAS
- C. Emre Alper & R. Armando Morales & Fan Yang, 2017.
"Monetary Policy Implementation and Volatility Transmission Along the Yield Curve: The Case of Kenya,"
South African Journal of Economics,
Economic Society of South Africa, vol. 85(3), pages 455-478, September.
- Emre Alper & R. Armando Morales & Fan Yang, 2016. "Monetary Policy Implementation and Volatility Transmission along the Yield Curve; The Case of Kenya," IMF Working Papers 16/120, International Monetary Fund.
More about this item
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:weltar:v:133:y:1997:i:1:p:56-75. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .