, volatility of interest rates with various maturities and volatility transmission along the yield curve are analysed. It is found … that the way how monetary policy is implemented affects volatility of most money market rates, except the 12-month rate …-shaped volatility curve and strong evidence in favour of the expectation hypothesis are documented. …

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 …

This paper assesses the sources of volatility persistence in Euro Area money market interest rates and the existence of … linkages relating volatility dynamics. The main findings of the study are as follows. Firstly, there is evidence of stationary … volatility processes. The first factor shows how persistent volatility shocks are trasmitted along the term structure, while the …