Caporale, Guglielmo Maria; Cipollini, Andrea; … - Centro di Studi Internazionali Sull'Economia e la … - 2003
This paper examines whether a monetary policy tightening (i.e., an increase in the domestic interest rate) was … heteroscedasticity properties of the relevant time series, following Rigobon (2002). We find that while tight monetary policy helped to …