CORDIS Project
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This project analyzes interbank overnight rate volatility and its effects on longer-term interest rates. It examines the relationship between reserve management strategies and volatility, and explores connections to broader macroeconomic variables.
This project consists of four parts, each of which will analyze a different aspect of interbank overnight rate volatility (hereafter “OV”).In the first part of the project, the implications of OV on longer term interest rates will be investigated.
The expectations hypothesis notes that longer-term rates should equal expected future short-term rates plus a term premium.
We will look for evidence that OV can affect the term premium embedded in longer-term rates.
The analysis will be conducted for…
KOC UNIVERSITY
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