Skip navigation

Volatility transmission along the money market yield curve

Thumbnail
View
1,34 MB
Authors
Issue Date
1994
Physical description
30 p.
ISBN
8477932840
Abstract
In this paper we look to model the volatility of money market interest rates -and the transmission of volatility- along the money market yield curve in four countries: the UK, Germany, France and Spain. We use a conditional variance specification which is based on Nelson's Exponential ARCH. We find a significant volatility transmission effect from overnight to longer term money markets for France, Spain and the UK. We also find that, in our small cross section of countries, those with lower (higher) reserve requirements tend to have higher (lower) interbank interest rate volatility. However, reserve requirements generate a perverse seasonal effect: at the end of the maintenance period, both the level of the overnight interest rate volatility and the magnitude of the transmission effect to the rest of the yield curve are higher. References.(jah)(agh)(frl)(jha)
Publish on
Documentos de trabajo / Banco de España, 9403
Subjects
Appears in Collections:


loading