13 other countries. First, by looking at the magnitude and the volatility of the changes in the money market rates we …

This paper examines volatility spillovers from changes in the size of the balance sheets of the Federal Reserve (FED … most susceptible to positive volatility spillovers from both the FED and ECB in terms of magnitude. Positive volatility … about ten. By contrast, we find that EME stock markets are subject to negative volatility spillovers. Moreover, we find only …

the ECB from 2009 onwards have spilled over into asset price volatility developments of a group of six Central and Eastern … significant role in dampening volatility spikes in the financial markets of the countries at stake. This probably reflects how …

show that the US and the euro area displayed a limited but significant spillover of volatility from money market to longer … empirical evidence to show that the transmission of overnight volatility along the yield curve had entirely vanished …

Using a GARCH model, we analyze the influence of U.S. monetary policy action and communication on the price volatility … significant impact on price volatility. Second, expected target rate changes and communications decrease volatility, whereas … ; Price Volatility …