This study examines the determinants of bond yield spreads for 22 emerging markets in the period 1998–2009. Several determinants are considered. In addition, I consider the connection between volatility and bond yield spreads. Volatility and central bank transparency are two factors common to...

The spillover effects of interconnectedness between financial assets are decomposed into both sources of shocks and whether they amplify or dampen volatility conditions in the target market. We use historical decompositions to rearrange information from a VAR which includes sources, direction...

This paper examines the role of the ECB communication activities on daily Eurodollar exchange rate and interest rates. We estimate the relationship between monetary policy and the exchange rate using a technique that explicitly recognises the joint determination of both the levels and...

We investigate the volatility of real interest rates in 10 countries. An equilibrium model with financial frictions mimics the volatility of real rates and predicts a negative correlation of the conditional variance with the business cycle. Our contribution investigates the level and conditional...

A notable feature of the 1920s and 1930s is the volatility in several key macroeconomic aggregates, and this feature used to econometrically identify the reaction of the Fed to stock market developments. The volatility of economic activity may have contributed to deepening the divisions among...