The Impact of Monetary Policy on Bond Returns Volatility: A Segmented Markets Approach
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References listed on IDEAS
- Charles A. Holt & Susan K. Laury, 2002. "Risk Aversion and Incentive Effects," American Economic Review, American Economic Association, vol. 92(5), pages 1644-1655, December.
- repec:bla:jfinan:v:59:y:2004:i:4:p:1481-1509 is not listed on IDEAS
- Filippo Occhino, 2004. "Modeling the Response of Money and Interest Rates to Monetary Policy Shocks: A Segmented Markets Approach," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 7(1), pages 181-197, January.
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Cited by:
- Doojav, Gan-Ochir & Damdinsuren, Batnyam & Baasansuren, Lkhagvajav, 2007. "Monetary policy and bond market development: A case of Mongolia," MPRA Paper 72193, University Library of Munich, Germany, revised May 2007.
- Frederik Lundtofte, 2013.
"The quality of public information and the term structure of interest rates,"
Review of Quantitative Finance and Accounting, Springer, vol. 40(4), pages 715-740, May.
- Frederik Lundtofte, 2006. "The Quality of Public Information and The Term Structure of Interest Rates," Swiss Finance Institute Research Paper Series 06-24, Swiss Finance Institute, revised Sep 2006.
- Chinn, Menzie D., 2006. "The (partial) rehabilitation of interest rate parity in the floating rate era: Longer horizons, alternative expectations, and emerging markets," Journal of International Money and Finance, Elsevier, vol. 25(1), pages 7-21, February.
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More about this item
Keywords
bond returns volatility; limited participation; segmented markets; monetary policy shocks;All these keywords.
JEL classification:
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-DGE-2004-06-02 (Dynamic General Equilibrium)
- NEP-MON-2004-06-02 (Monetary Economics)
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