Research Papers in Economics, Department of Economics, Stockholm University
The Sources of Volatility Transmission in the Euro Area Money Market: From Longer Maturities to the Overnight?
Abstract: This note investigates the transmission of volatility from
longer maturities to the overnight segment of the Euro area money market. I
use non-parametric estimates of the daily variance of swap rates to test
for block exogeneity with respect to the overnight. The results suggest
that there exists transmission of volatility shocks from the 1-year swap
rate to the overnight market. The reform of the operational framework of
March 2004 has improved the segmentation of the market, as it has insulated
the overnight segment from spillovers in volatility stemming from swap
rates up to 6 months of maturity.
Keywords: Money Market; High-Frequency Data; Granger Causality; (follow links to similar papers)
JEL-Codes: C22; E58; (follow links to similar papers)
9 pages, May 22, 2008
Before downloading any of the electronic versions below
you should read our statement on
for viewing Postscript files and the
Acrobat Reader for viewing and printing pdf files.
Full text versions of the paper:
Questions (including download problems) about the papers in this series should be directed to Sten Nyberg ()
Report other problems with accessing this service to Sune Karlsson ()
or Helena Lundin ().
Design by Joachim Ekebom