Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25517
Authors: 
Colarossi, Silvio
Zaghini, Andrea
Year of Publication: 
2007
Series/Report no.: 
CFS Working Paper 2007/16
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.
Subjects: 
Monetary Policy, Yield Curve, GARCH
JEL: 
E4
E5
G1
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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