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Volatility transmission in the European money market · Study

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ArticleVolatility transmission in the European money market

Dieter Nautz2007

Article2007

Volatility transmission in the European money market

Dieter Nautz · Christian J. Offermanns

36 citations·0/0 files stored·The North American Journal of Economics and Finance

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1996The Daily Market for Federal Funds 2006Interest rate corridors and reserves 2004Monetary Policy Implementation 2006The Daily Market for Funds in Europe: What Has Changed with the EMU?2003Standing Facilities and Interbank Borrowing: Evidence from the Federal Reserve's New Discount Window 2001The ECB monetary policy strategy and the money market 2006When Did the FOMC Begin Targeting the Federal Funds Rate? What the Verbatim Transcripts Tell Us 2003A Comprehensive Model on the Euro Overnight Rate

Cited by

2011The EONIA spread before and during the crisis of 2007–2009: The role of liquidity and credit risk 2017The kidnapping of Europe: High-order moments' transmission between developed and emerging markets 2010Monetary transmission right from the start: The (dis)connection between the money market and the ECB's main refinancing rates 2009Gradualism, Transparency and the Improved Operational Framework: A Look at the Overnight Volatility Transmission 2008What Explains the Spread between the Euro Overnight Rate and the ECB's Policy Rate?

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2010Monetary policy implementation and overnight rate persistencepreprint · 7 shared references 2009Monetary policy implementation and the federal funds ratearticle · 6 shared references 2010Euro Money Market Interest Rates Dynamics and Volatility: How They Respond to Recent Changes in the Operational Frameworkpreprint · 5 shared references 2011Monetary policy implementation and overnight rate persistencearticle · 5 shared references 2007Open Market Operations and Financial Marketsbook · 5 shared references 2011The EONIA spread before and during the crisis of 2007–2009: The role of liquidity and credit riskarticle · 4 shared references

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Year2007

Typearticle

Published2007-08-31

VenueThe North American Journal of Economics and Finance

ISSN-L1062-9408

Languageen

Citations36

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.najef.2007.07.005

openalex_workW2162185359

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2011Monetary policy implementation and overnight rate persistence

2010Monetary policy implementation and overnight rate persistence