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 …

pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity …

the presence of institutional investors affects volatility and liquidity in secondary bank bond markets. We find that non …' liquidity conditions, at the cost of significantly increasing volatility of daily returns. The effect translates to more than a … 19% improvement in liquidity conditions and up to 57% increase in daily-return volatility, assuming MMFs hold about 10 …

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

This paper estimate the factors underlying the volatility of the euro overnight interest rate and its transmission …'s operational framework for monetary policy implementation. Strong persistence is dedected in all log-volatility processes and two … second factor explains the transmission of volatility along the money market yield curve. We find evidence that most …

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 …

stock prices in the U.K.; and (iii) government revenue shocks have apparently contributed to an increase of volatility in …

stock prices in the U.K.; and (iii) government revenue shocks have apparently contributed to an increase of volatility in …