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Transmission of volatility of money market overnight repo rate along the Yield Curve in Pakistan
Mahmood, Asif - 2015
Persistent link: https://www.econbiz.de/10011419532
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Euro Money Market Interest Rates Dynamics and Volatility : How They Respond to Recent Changes in the Operational Framework
Jardet, Caroline - 2010
liquidity management are responsible for a significant decrease in the interest rate volatility …
Persistent link: https://www.econbiz.de/10013136867
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Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach
Beirne, John - 2010
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 …
Persistent link: https://www.econbiz.de/10013141038
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Volatility, Money Market Rates, and the Transmission of Monetary Policy
Carpenter, Seth B. - 2011
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 …
Persistent link: https://www.econbiz.de/10013124991
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Examining US monetary spillover to Indonesian local currency government bonds in volatile periods
Nugraha, Muhammad Fajar - 2023
This study analyzes the magnitude of the US monetary policy spillover on the Indonesian local currency government bond yield, particularly when the Federal Reserve (Fed) implemented the quantitative easing (QE), tapering off, Fed fund rate (FFR) normalization, and quantitative tightening over...
Persistent link: https://www.econbiz.de/10014289870
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Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach
Beirne, John - 2013
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 …
Persistent link: https://www.econbiz.de/10013094544
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Liquidity shocks and overnight interest rates in emerging markets : evidence from GARCH models for India
Singh, Bhupal - 2020
Persistent link: https://www.econbiz.de/10012272029
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Volatility of Real Return and Impact of Monetary Policy Rates on Yield of the 182 Days Treasury Bills in India
Vijayalakshmi, P - 2020
182 days treasury bills and concluded that monetary policy rates have impact on 182 days treasury bills in India …
Persistent link: https://www.econbiz.de/10012839555
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When to ease off the brakes (and hopefully prevent recessions)
Hastings, Harold M.; Young-Taft, Tai; Wang, Thomas - 2019
Increases in the federal funds rate aimed at stabilizing the economy have inevitably been followed by recessions. Recently, peaks in the federal funds rate have occurred 6-16 months before the start of recessions; reductions in interest rates apparently occurred too late to prevent those...
Persistent link: https://www.econbiz.de/10012006453
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The scarcity effect of quantitative easing on repo rates : evidence from the euro area
Arrata, William; Nguyen, Benoit; Rahmouni-Rousseau, Imene; … - 2018
Most short-term interest rates in the Euro area are below the European Central Bank deposit facility rate, the rate at which the central bank remunerates banks' excess reserves. This unexpected development coincided with the start of the Public Sector Purchase Program (PSPP). In this paper, we...
Persistent link: https://www.econbiz.de/10011978433