Gradualism, Transparency and the Improved Operational Framework: A Look at Overnight Volatility Transmission

Silvio Colarossi and Andrea Zaghini

International Finance, 2009, vol. 12, issue 2, 151-170

Abstract: This paper proposes a possible way of assessing the effect on interest rate dynamics of changes in the decision‐making method, in the communication strategy and in the operational framework of a central bank. Through a generalized autoregressive conditional heteroscedasticity (GARCH) specification, we show that the United States 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 disappeared.

Date: 2009
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Citations: View citations in EconPapers (9)

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https://doi.org/10.1111/j.1468-2362.2009.01241.x

Related works:
Working Paper: Gradualism, transparency and the improved operational framework: a look at the 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:bla:intfin:v:12:y:2009:i:2:p:151-170

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