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 examine long-run determinants of cross-country variation in reserve volatility for 30 emerging market … volatility. The empirical results are robust for a range of control variables, including monetary variables, the degree of … be helpful in evaluating reserve volatility as a crisis indicator. …

volatility for 30 emerging market economies from 1973 to 2000. We find that reserve holdings and openness to be the most … important determinants of reserve volatility. These results are robust for a range of control variables, including monetary …