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Volatility transmission along the money market yield curve

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  • Juan Ayuso
  • Andrew Haldane
  • Fernando Restoy
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    File URL: http://hdl.handle.net/10.1007/BF02707676
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    Article provided by Springer in its journal Weltwirtschaftliches Archiv.

    Volume (Year): 133 (1997)
    Issue (Month): 1 (March)
    Pages: 56-75

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    Handle: RePEc:spr:weltar:v:133:y:1997:i:1:p:56-75
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    Keywords: E52;

    Find related papers by JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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    1. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
    2. 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.
    3. 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.
    4. Goodhart, Charles, 1989. "The Conduct of Monetary Policy," Economic Journal, Royal Economic Society, vol. 99(396), pages 293-346, June.
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    Cited by:

    1. Avouyi-Dovi, S. & Jondeau, E., 1999. "Interest Rate Transmission and Volatility Transmission along the Yield Curve," Working papers 57, Banque de France.
    2. Mandler, Martin, 2007. "The Taylor rule and interest rate uncertainty in the U.S. 1955-2006," MPRA Paper 2340, University Library of Munich, Germany.
    3. Bank for International Settlements, 2006. "The recent behaviour of financial market volatility," BIS Papers, Bank for International Settlements, number 29, April.
    4. 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).
    5. Nuno Cassola & Claudio Morana, 2007. "Comovements in Volatility in the Euro Money Market," ICER Working Papers 7-2007, ICER - International Centre for Economic Research.
    6. Jardet, Caroline & Le Fol, Gaëlle, 2010. "Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework," Economics Papers from University Paris Dauphine 123456789/5391, Paris Dauphine University.
    7. 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.
    8. 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.
    9. 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.
    10. 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.
    11. Anne Vila Wetherilt, 2003. "Money market operations and volatility of UK money market rates," Bank of England working papers 174, Bank of England.
    12. Bindseil, Ulrich, 2004. "The operational target of monetary policy and the rise and fall of reserve position doctrine," Working Paper Series 0372, European Central Bank.
    13. Lee, Jim, 2002. "Federal funds rate target changes and interest rate volatility," Journal of Economics and Business, Elsevier, vol. 54(2), pages 159-191.
    14. 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.
    15. Bindseil, Ulrich & Nyborg, Kjell G., 2007. "Monetary policy implementation: A European Perspective," Discussion Papers 2007/10, Department of Business and Management Science, Norwegian School of Economics.
    16. Francisco Alonso & Roberto Blanco, 2005. "Is the volatility of the EONIA transmitted to longer-term euro money market interest rates?," Banco de Espa�a Working Papers 0541, Banco de Espa�a.
    17. 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.
    18. 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.

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