The sources of volatility transmission in the Euro area money market: from longer maturities to the overnight?

Volatility in the Euro area money market

Volatility in the Euro area money market: effects from the monetary policy operational framework

✍ Alain Durré; Stefano Nardelli 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 555 KB

## Abstract This paper deals with the evolution of the realized volatility of the overnight interest rates in the Euro area money market using intraday data. It analyses in particular the pattern of the volatility of the overnight interest rate before and after the introduction of the structural ch