Transmission of Volatility of Money Market Overnight Repo Rate along the Yield Curve in Pakistan
Published By: SBP on eSS | Published Date: December, 01 , 2015This paper presents the empirical results of the volatility transmission of money market overnight
repo rate along the yield curve in Pakistan. The results indicate that the transmission of volatility of
overnight repo rate is higher at the shorter end of the yield curve compared to the longer end. These
results are in line with empirical findings of volatility transmission of interest rates found in other
countries.
Author(s): Asif Mahmood | Posted on: Jan 11, 2016 | Views() | Download (491)