Gradualism, transparency and improved operational framework: A look at the overnight volatility transmission

Silvio Colarossi and Andrea Zaghini

No 2007/16, CFS Working Paper Series from Center for Financial Studies (CFS)

Abstract: This paper proposes a possible way of assessing the effect of interest rate dynamics on changes in the decision-making approach, communication strategy and operational framework of a Central bank. Through a GARCH specification we show that the USA and Euro area displayed a limited but significant spillover of volatility from money market to longer-term rates. We then checked the stability of this phenomenon in the most recent period of improved policymaking and found empirical evidence that the transmission of overnight volatility along the yield curve vanished soon after specific policy changes of the FED and ECB.

Keywords: Monetary Policy; Yield Curve; GARCH (search for similar items in EconPapers)
JEL-codes: E4 E5 G1 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (6)

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Related works:
Journal Article: Gradualism, Transparency and the Improved Operational Framework: A Look at Overnight Volatility Transmission (2009)
Working Paper: Gradualism, transparency and the improved operational framework: a look at the overnight volatility transmission (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cfswop:200716

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