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Transmission of volatility of money market overnight repo rate along the Yield Curve in Pakistan
Mahmood, Asif - 2015
Persistent link: https://www.econbiz.de/10011419532
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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
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Interest rate volatility : a consol rate approach
Brousseau, Vincent; Durré, Alain - In: Journal of mathematical finance 5 (2015) 1, pp. 58-72
Persistent link: https://www.econbiz.de/10011398611
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The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium
Gospodinov, Nikolaj; Jamali, Ibrahim - In: Journal of empirical finance 19 (2012) 4, pp. 497-510
Persistent link: https://www.econbiz.de/10009615666
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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
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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
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Volatility, Money Market Rates, and the Transmission of Monetary Policy
Carpenter, Seth B. - 2011
for understanding this relationship. We explore the effect of volatility in the federal funds market on the expectations …. Second, we find that lower volatility in the bank funding markets market, all else equal, leads to a lower term premium and …
Persistent link: https://www.econbiz.de/10013124991
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Volatility in the federal funds market and money market spreads during the financial crisis
Carpenter, Seth B.; Demiralp, Selva; Senyuz, Zeynep - In: Journal of financial stability 25 (2016), pp. 225-233
Persistent link: https://www.econbiz.de/10011704911
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Examining US monetary spillover to Indonesian local currency government bonds in volatile periods
Nugraha, Muhammad Fajar - 2023
This study analyzes the magnitude of the US monetary policy spillover on the Indonesian local currency government bond yield, particularly when the Federal Reserve (Fed) implemented the quantitative easing (QE), tapering off, Fed fund rate (FFR) normalization, and quantitative tightening over...
Persistent link: https://www.econbiz.de/10014289870
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Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach
Beirne, John - 2013
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/10013094544