2024-03-29T05:54:21Zhttps://repositorio.bde.es/oai/requestoai:repositorio.bde.es:123456789/65282023-12-28T13:35:28Zcom_123456789_5661com_123456789_21col_123456789_5703
Repositorio Institucional
author
Ayuso, Juan
author
Haldane, Andrew G.
author
Restoy, Fernando
2019-08-10T17:21:29Z
2019-08-10T17:21:29Z
1994-02-02
ISBN: 8477932840
https://repositorio.bde.es/handle/123456789/6528
000086692
DTRA-199403-eng
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)
eng
Reconocimiento-NoComercial-CompartirIgual 4.0 Internacional (CC BY-NC-SA 4.0)
Volatility transmission along the money market yield curve
Documento de trabajo
URL
https://repositorio.bde.es/bitstream/123456789/6528/1/dt9403e.pdf
File
MD5
67d3623e544753b241e71c2128b335ad
1372815
application/pdf
dt9403e.pdf
URL
https://repositorio.bde.es/bitstream/123456789/6528/2/dt9403e.pdf.txt
File
MD5
4191d68788e05723ecd645fde41926cd
50653
text/plain
dt9403e.pdf.txt