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Transmission of Volatility of Money Market Overnight Repo Rate along the Yield Curve in Pakistan

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  • Asif Mahmood

Abstract

This paper presents the empirical results of the volatility transmission of money market overnight repo rate along the yield curve in Pakistan. The results indicate that the transmission of volatility of overnight repo rate is higher at the shorter end of the yield curve compared to the longer end. These results are in line with empirical findings of volatility transmission of interest rates found in other countries.

Suggested Citation

  • Asif Mahmood, 2016. "Transmission of Volatility of Money Market Overnight Repo Rate along the Yield Curve in Pakistan," Working Papers id:8359, eSocialSciences.
    • Handle: RePEc:ess:wpaper:id:8359
    Note: Institutional Papers
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    Cited by:

    1. is not listed on IDEAS
    2. Syed Ateeb Akhter Shah & Fatima Kaneez & Riffat Arshad, 2021. "The Impact of Economic Policy Uncertainty on Consumer Confidence in Pakistan," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 26(2), pages 19-32, July-Dec.

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    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

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