Interest Rate Transmission and Volatility Transmission along the Yield Curve.

In order to analyse the interest rate transmission mechanism, we study daily Euro-rates term structure for the US, Germany, and the UK between 1983 and 1997. We estimate multivariate VECM-GARCH models, which takes into account most of the usual feaures of financial data (non-stationarity, cointegration, heteroskedasticity, asymmetric effects).

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Year of publication:	1999
Authors:	Avouyi-Dovi, S. ; Jondeau, E.
Institutions:	Banque de France
Subject:	VOLATILITY \| FINANCIAL MARKET \| INTEREST RATE

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Series:	Banque de France - Direction Generale des Etudes.
Type of publication:	Book / Working Paper
Notes:	23 pages
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005487060