Shahiduzzaman, Md. and Naser, Mahmud Salahuddin (2007) Volatility in the overnight money-market rate in Bangladesh: recent experiences. Working Paper. Bangladesh Bank , Dhaka, Bangladesh. [Report]
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Abstract
This paper tries to investigate the pattern of volatility in the overnight money market rate (call money rate)
in Bangladesh using subjective judgment as well as econometric techniques during the period Jan '03 to
Dec '06. The study results show significant variation in volatility during the sample period: a 'clustering'
of large and small variances of call money rate. In addition, there is strong evidence that the volatility
shocks are quite persistent. The volatility in the call money rate perhaps reflects the effect of the open
market operations and seasonal factors, and it is closely linked with the behavior of the repo rate.
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