dynamics has a linear volatility function. In this paper, the model is extended to quadratic volatility functions which are the …

In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market … activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by …

liquidity management are responsible for a significant decrease in the interest rate volatility …

In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market … activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by …

for understanding this relationship. We explore the effect of volatility in the federal funds market on the expectations …. Second, we find that lower volatility in the bank funding markets market, all else equal, leads to a lower term premium and …

Purpose – This paper aims to analyse the volatility of the fixed income market from 11 countries (Brazil, Russia, India … interbank interest rates from each market. Design/methodology/approach – To the volatility of interest rates returns, the study … (ARIMA) models, checking which of these processes were more efficient in capturing volatility of interest rates of each of …