Die vorliegende Studie wurde im Arbeitsbereich "Konjunktur und Finanzmärkte" erstellt und im Dezember 2005 …Die vorliegende Studie wurde im Arbeitsbereich ""Konjunktur und Finanzmärkte"" erstellt und im Dezember 2005 …

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 …

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 …