Transmission of Volatility of Money Market Overnight Repo Rate along the Yield Curve in Pakistan

Asif Mahmood

Working Papers from eSocialSciences

Abstract: This paper presents the empirical results of the volatility transmission of money market overnight repo rate along the yield curve in Pakistan. The results indicate that the transmission of volatility of overnight repo rate is higher at the shorter end of the yield curve compared to the longer end. These results are in line with empirical findings of volatility transmission of interest rates found in other countries.

Keywords: Money Market; overnight repo; interest rates; volatality; yield curve; Pakistan; GARCH; monetary policy; emerging markets; smooth transmission; rupee revaluation rates; Variance (search for similar items in EconPapers)
Date: 2016-01
Note: Institutional Papers
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Related works:
Journal Article: Transmission of Volatility of Money Market Overnight Repo Rate along the Yield Curve in Pakistan (2016)
Working Paper: Transmission of Volatility of Money Market Overnight Repo Rate along the Yield Curve in Pakistan (2015)
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