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

Silvio Colarossi () and Andrea Zaghini
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Silvio Colarossi: Bank of Italy

No 710, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: This paper proposes a possible way of assessing the effect on interest rate dynamics of changes in the decision-making approach, in the communication strategy and in the operational framework of a central bank. Through a GARCH specification we show that the US and the 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 policy-making and found empirical evidence to show that the transmission of overnight volatility along the yield curve had entirely vanished.

Keywords: monetary policy; yield curve; GARCH (search for similar items in EconPapers)
JEL-codes: E4 E5 G1 (search for similar items in EconPapers)
Date: 2009-05
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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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 improved operational framework: A look at the overnight volatility transmission (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:wptemi:td_710_09

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