spot prices, although only in the short run. Moreover, financial activity appears to have exacerbated the volatility in the …

In this paper we propose a new methodology to estimate the volatility of interest rates in the euro area money market … liquidity risk. The measure is constructed as the implied instantaneous volatility of a consol bond that would be priced on the … EONIA swap curve over the sample period from 4 January 1999 to 20 November 2012. We show that this measure tracks well the …

using a Time-Varying Coefficients VAR with Stochastic Volatility (TV-VAR) for the US. The model generates accurate …

This paper shows that the explanation of the decline in the volatility of GDP growth since the mid-eighties is not the … decline in the volatility of exogenous shocks but rather a change in their propagation mechanism …

This paper assesses the sources of volatility persistence in Euro Area money market interest rates and the existence of … linkages relating volatility dynamics. The main findings of the study are as follows. Firstly, there is evidence of stationary … volatility processes. The first factor shows how persistent volatility shocks are trasmitted along the term structure, while the …

This paper shows that the explanation of the decline in the volatility of GDP growth since the mid-eighties is not the … decline in the volatility of exogenous shocks but rather a change in their propagation mechanism. …

using a Time-Varying Coefficients VAR with Stochastic Volatility (TV-VAR) for the US. The model generates accurate …