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Gradualism, transparency and improved operational framework: A look at the overnight volatility transmission
Colarossi, Silvio; Zaghini, Andrea - Center for Financial Studies - 2007
-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 … evidence that the transmission of overnight volatility along the yield curve vanished soon after specific policy changes of the …
Persistent link: https://www.econbiz.de/10010958782
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Gradualism, Transparency and Improved Operational Framework: A Look at the Overnight Volatility Transmission
Colarossi, Silvio; Zaghini, Andrea - Center for Financial Studies - 2007
-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 … evidence that the transmission of overnight volatility along the yield curve vanished soon after specific policy changes of the …
Persistent link: https://www.econbiz.de/10005138852
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Gradualism, transparency and the improved operational framework: a look at the overnight volatility transmission
Colarossi, Silvio; Zaghini, Andrea - Banca d'Italia - 2009
-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 … empirical evidence to show that the transmission of overnight volatility along the yield curve had entirely vanished. …
Persistent link: https://www.econbiz.de/10004980173
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Gradualism, Transparency and the Improved Operational Framework : A Look at the Overnight Volatility Transmission
Colarossi, Silvio - 2013
-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 … empirical evidence to show that the transmission of overnight volatility along the yield curve had entirely vanished …
Persistent link: https://www.econbiz.de/10013095619
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The narrow channel of quantitative easing : evidence from YCC down under
Lucca, David O.; Wright, Jonathan H. - 2022
We study the recent Australian experience with yield curve control (YCC) of government bonds as perhaps the best evidence of how this policy might work in other developed economies. We interpret the evidence with a simple model in which YCC affects prices of both government and other bonds via...
Persistent link: https://www.econbiz.de/10013193336
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Assessing the impact of demand shocks on the US term premium
Barnett, Russell; Zmitrowicz, Konrad - 2018
During and after the Great Recession of 2008-09, conventional monetary policy in the United States and many other advanced economies was constrained by the effective lower bound (ELB) on nominal interest rates. Several central banks implemented large-scale asset purchase (LSAP) programs, more...
Persistent link: https://www.econbiz.de/10011873794
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Monetary Policy Predictability in the Euro Area : An International Comparison
Wilhelmsen, Bjorn-Roger; Zaghini, Andrea - 2021
13 other countries. First, by looking at the magnitude and the volatility of the changes in the money market rates we …
Persistent link: https://www.econbiz.de/10013318454
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Modeling bond yields in finance and macroeconomics
Diebold, Francis X.; Piazzesi, Monica; Rudebusch, Glenn D. - Center for Financial Studies - 2005
From a macroeconomic perspective, the short-term interest rate is a policy instrument under the direct control of the central bank. From a finance perspective, long rates are risk-adjusted averages of expected future short rates. Thus, as illustrated by much recent research, a joint...
Persistent link: https://www.econbiz.de/10010958495
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Bond positions, expectations, and the yield curve
Piazzesi, Monika; Schneider, Martin - 2008
This paper implements a structural model of the yield curve with data on nominal positions and survey forecasts. Bond prices are characterized in terms of investors' current portfolio holdings as well as their subjective beliefs about future bond payoffs. Risk premia measured by an...
Persistent link: https://www.econbiz.de/10010292351
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Modeling bond yields in finance and macroeconomics
Diebold, Francis X.; Piazzesi, Monica; Rudebusch, Glenn D. - 2005
From a macroeconomic perspective, the short-term interest rate is a policy instrument under the direct control of the central bank. From a finance perspective, long rates are risk-adjusted averages of expected future short rates. Thus, as illustrated by much recent research, a joint...
Persistent link: https://www.econbiz.de/10010298296