This paper presented the empirical results of the volatility transmission of overnight rate along the yield curve in case of Pakistan. The results indicate that the volatility transmission of overnight repo rate is higher at the shorter end of the yield curve while lower at the longer end. These...

The objective of our work is to analyze the forecast performance of the dynamic Nelson-Siegel yield curve model and, for comparison, the first order autoregressive (AR(1)) model applied to a set of US bond yield data that covers a large timespan from November 1971 to December 2008. As a...

We define a parameter representing the relative forecast performance to compare forecasting results of different methods. By using this parameter, we analyze the performance of the dynamic Nelson-Siegel model and, for comparison, the first order autoregressive (AR(1)) model applied to a set of...

The paper analyses common Russian practice. The structural changes in the Russian economy are further stimulated by the improvement of the government regulation policy. The paper examines the factors and effects of the general economic growth and the integration processes. The paper examines the...

Share prices of financial companies from the S&P 500 list have been modeled by a linear function of consumer price indices in the USA. The Johansen and Engle-Granger tests for cointegration both demonstrated the presence of an equilibrium long-term relation between observed and predicted time...

Globalization and strengthening of integration processes have, among other things, also influenced some solutions relating to monetary sovereignty of particular countries. A great number of transition countries as well as some other underdeveloped countries are facing both inefficiency in their...

This paper investigates the impact of macroeconomic and monetary news on U.S. Government bond rate level and volatility. Specifically, it checks if these news affect differently interest rate level and volatility during "stable" and "unstable" periods. "Unstable" periods correspond to the...

We analyze monetary conditions in US asset markets — corporate equity, real estate, Treasury bond and corporate & foreign bond — from a market specific perspective, proposing the concept of market leverage. Market leverage measures the average leverage of all asset holders in a particular...

This study empirically examines the impact of the federal government budget on the nominal interest rate yield on US Treasury notes over the 1979-2001 period. In a system that includes the monetary base, the civilian labor force unemployment rate, the ex ante real 52 week Treasury bill rate, and...

This paper considers whether relationships exist between the daily weighted average 7-day interbank rate, the change in the daily 7-day interbank rate, the daily level of commercial banks excess reserves and the change in the daily level of excess reserves, which may guide domestic money market...