haku: @indexterm MONEY MARKETS / yhteensä: 577
viite: 6 / 577
| Tekijä: | Cassola, N. Morana, C. |
| Otsikko: | Volatility of interest rates in the euro area: Evidence from high frequency data |
| Lehti: | European Journal of Finance
2006 : SEP/OCT, VOL. 12:6-7, p. 513-528 |
| Asiasana: | money markets eurocurrency markets volatility swaps interest rates models European Union |
| Kieli: | eng |
| Tiivistelmä: | This paper deals with the euro area money market (here as: m-m.) from a microstructure perspective focusing on the empirical estimation of the factors underlying the volatility (here as: vol.) of the overnight interest rate (as: i-rt./i-rts.) and its transmission along the m-m. yield curve (as: m-m-y-c.). Two sources of vol. are separated out: one related to the institutional features of the operational framework and payments system, and the other, related to the impact of policy decisions. A novel data set is used composed of hourly observations, covering several short-term i-rts. The sample runs from 4/12/2000 to 31/05/2002. There are found two common long-memory factors to drive the vol. processes explaining: 1. the long-memory dynamics of the shortest maturity, and 2. the transmission of vol. to other maturities. It is shown that announcements of i-rts. changes exercise the strongest impact on the vol. of the shortest maturities. Documented are persistent effects of liquidity shortages transmitted along the m-m-y-c. |
SCIMA