Volatility in the overnight money-market rate in Bangladesh: recent experiences

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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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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Item Type: Report (Working Paper)
Item Status: Live Archive
Additional Information: Copyright © 2007 by Bangladesh Bank.
Faculty / Department / School: Historic - Faculty of Business - School of Accounting, Economics and Finance
Date Deposited: 26 Jun 2013 23:28
Last Modified: 30 Sep 2013 06:12
Uncontrolled Keywords: money rate; econometrics; Bangladesh
Fields of Research : 15 Commerce, Management, Tourism and Services > 1502 Banking, Finance and Investment > 150202 Financial Econometrics
14 Economics > 1402 Applied Economics > 140212 Macroeconomics (incl. Monetary and Fiscal Theory)
14 Economics > 1403 Econometrics > 140399 Econometrics not elsewhere classified
Socio-Economic Objective: B Economic Development > 91 Economic Framework > 9101 Macroeconomics > 910109 Savings and Investments
URI: http://eprints.usq.edu.au/id/eprint/6291

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