Search Results - subject:"Interest rate volatility"

Interest rate control and the transmission of monetary policy

Holm-Hadulla, Fédéric; Pool, Sebastiaan - 2025

We study how short-term interest rate volatility affects the transmission of monetary policy. To identify exogenous …

Persistent link: https://www.econbiz.de/10015340281

Performance of Islamic and conventional stock indices: empirical evidence from an emerging economy

Rana, Md Ejaz; Akhter, Waheed - In: Financial Innovation 1 (2015) 15, pp. 1-17

constancy assumption of classical linear regression (CLRM) model and allows exchange rate and interest rate volatility to evolve … conventional stock indices. Results: The findings show positive and statistically significant effect of interest rate volatility on …

Persistent link: https://www.econbiz.de/10011808204

Performance of Islamic and conventional stock indices : empirical evidence from an emerging economy

Rana, Md. Ejaz; Akhter, Waheed - In: Financial innovation : FIN 1 (2015) 15, pp. 1-17

Persistent link: https://www.econbiz.de/10011541805

Open-economy Distribution Forecast Targeting, Macroeconomic Volatility and Financial Implication

Flamini, Alessandro; Milas, Costas - Dipartimento di Scienze Economiche e Aziendali, … - 2014

interest rate volatility and financial instability emerges for the US, UK and Sweden since the early 1990s. Bridging theory and …

Persistent link: https://www.econbiz.de/10010891904

An Interpretation of Interest Rates Variability in Dealer´s Model of Optimal Interest Margin

Brůna, Karel; Korbel, Jiří - In: Politická ekonomie 2013 (2013) 3, pp. 299-320

The paper deals with interest rate volatility interpretation in the dealer´s model of optimal interest margin. It … defines main sources of interest rate volatility and studies how specific source of volatility influences optimal interest …/reinvestment risk with an attempt to formalize interest rate volatility for further empirical research. Our conclusion is that dealer …

Persistent link: https://www.econbiz.de/10011195271

Impact of IPO Activities on the Hong Kong Dollar Interbank Market

Leung, Frank; Ng, Philip - Hong Kong Monetary Authority - 2008

Hong Kong has witnessed an equity initial public offering (IPO) boom since 2005. As the interbank payments involved in an IPO can be hundreds of times larger than the Aggregate Balance, increased funding needs and heightened demand for interbank liquidity may drive interbank interest rates up....

Persistent link: https://www.econbiz.de/10005690165

The Money Market Daily Session :an UHF-GARCH Model Applied to the Portuguese Case Before and After the Introduction Of the Minimum Reserve System of the Single Monetary Policy

Sol Murta, Fatima - In: Brussels Economic Review 50 (2007) 3, pp. 285-314

The study of the determination of the overnight interest rate in the interbank market, and the behaviour of its volatility, gained new insights with contributions from the microstructure theory. The aim of this article is to study the effect of the trade intensity over the volatility of the...

Persistent link: https://www.econbiz.de/10008868092

Money market volatility: a simulation study

Kempa, Michal - 2006

This paper analyses different operational central bank policies and their impact on the behaviour of the money market interest rate. The model combines profit maximising behaviour by commercial banks with the central bank supplying the liquidity that keeps the market rate on target.It seems that...

Persistent link: https://www.econbiz.de/10012147969

Money market volatility, A simulation study

Kempa, Michal - Suomen Pankki - 2006

Persistent link: https://www.econbiz.de/10005771141

Banksï¿½ participation in the Eurosystem auctions and money market integration

Bruno, Giuseppe; Ordine, Ernesto Maurizio; Scalia, Antonio - Banca d'Italia - 2005

Persistent link: https://www.econbiz.de/10005196851