Similar Search Results

Interest rate dispersion and volatility in the market for daily funds

Gaspar, Vítor; Pérez-Quirós, Gabriel; Rodríguez, Hugo - In: European economic review : EER 52 (2008) 3, pp. 413-440

Persistent link: https://www.econbiz.de/10003726319

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

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

Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach

Beirne, John - 2013

Persistent link: https://www.econbiz.de/10013094544

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...