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

Working paper

Shahiduzzaman, Md. and Naser, Mahmud Salahuddin. 2007. Volatility in the overnight money-market rate in Bangladesh: recent experiences. Dhaka, Bangladesh. Bangladesh Bank.
Title

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

Report TypeWorking paper
AuthorsShahiduzzaman, Md. (Author) and Naser, Mahmud Salahuddin (Author)
Institution of OriginBangladesh Bank
Number of Pages6
SeriesPolicy Note
Year2007
PublisherBangladesh Bank
Place of PublicationDhaka, Bangladesh
Web Address (URL)http://www.bb.org.bd/pub/research/policynote/pn0707.pdf
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.

Keywordsmoney rate; econometrics; Bangladesh
ANZSRC Field of Research 2020350203. Financial econometrics
380112. Macroeconomics (incl. monetary and fiscal theory)
380299. Econometrics not elsewhere classified
Public Notes

Copyright © 2007 by Bangladesh Bank.

Byline AffiliationsBangladesh Bank, Bangladesh
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