Abstract
Volatility Transmission along the Money Market Yield Curve. - The authors model the volatility of money market interest rates — and the transmission of volatility - along the money market yield curve in the UK, Germany, France and Spain. They find a significant volatility transmission from overnight to longer-term money market rates in France, Spain and the U.K. They also find that the countries with lower (higher) reserve requirements tend to have higher (lower) interbank interest rate volatility. However, reserve requirements generate a perverse seasonal effect at the end of the maintenance period.
Zusammenfassung
Die Übertragung von Volatilität entlang der Ertrags-kurve des Geldmarktes. - Die Verfasser modellieren die Volatilität der Zinssätze auf dem Geldmarkt - und die Übertragung der Volatilität - entlang der Ertragskurve des Geldmarktes in Deutschland, Frankreich und Spanien und im Vereinigten Königreich. Sie ermitteln eine signifikante Volatilitäts-Übertragung der Geldmarktsätze von Tagesgeld bis zu längerfristigen Anlagen in Frankreich, Spanien und dem Vereinigten Königreich. Sie stellen ebenfalls fest, daß die Länder mit niedrigeren (höheren) Mindestreserveanforderungen zu einer höheren (niedrigeren) Volatilität der Zinssätze zwischen Banken tendieren. Allerdings verursachen die Mindestreserven am Ende der Festlegungsperiode einen perversen saisonalen Effekt.
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Ayuso, J., Haldane, A.G. & Restoy, F. Volatility transmission along the money market yield curve. Weltwirtschaftliches Archiv 133, 56–75 (1997). https://doi.org/10.1007/BF02707676
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DOI: https://doi.org/10.1007/BF02707676