Moschitz, Julius - In: Applied financial economics 19 (2009) 1/3, pp. 39-57
that the way how monetary policy is implemented affects volatility of most money market rates, except the 12-month rate …, volatility of interest rates with various maturities and volatility transmission along the yield curve are analysed. It is found …-shaped volatility curve and strong evidence in favour of the expectation hypothesis are documented. …