목차
Title page 1
Contents 1
Abstract 2
Non-technical summary 3
1. Introduction 5
2. Empirical methodology 9
2.1. Model 9
2.2. Data 11
2.3. Identification of exogenous changes in rate volatility 12
3. Results 19
4. Robustness 24
5. Conclusion 26
References 27
6. Annex 32
Acknowledgements 36
Tables 14
Table 1. Regimes definition and description 14
Table 2. Results for Pagan and Hall (1983) general test for heteroskedasticity 18
Table 3. Results for Breusch-Pagan/Cook-Weisberg test for heteroskedasticity 19
Table 4. Descriptive statistics 32
Table 5. Variances across regimes 32
Figures 15
Figure 1. Short-rate volatility across the volatility regimes (y-axis: percentage points; x-axis: years) 15
Figure 2. IRFs following a monetary policy shock conditional on short-rate volatility to GDP and the GDP deflator (y-axis: percentages; x-axis: months) 20
Figure 3. Marginal effect of short-rate volatility on the impact of monetary policy (y-axis: percentages) 21
Figure 4. IRFs following a monetary policy shock conditional on bank lending rates and volumes (y-axis: LHS percentage points; RHS percentages; x-axis: months) 22
Figure 5. Impact of monetary policy shocks and short-rate volatility on the 3-month OIS rate (y-axis: percentage points; x-axis: LHS months) 23
Figure 6. IRFs following a monetary policy shock conditional on short-rate volatility (y-axis: percentage points; x-axis: months) 33
Figure 7. IRFs following a monetary policy shock conditional on short-rate volatility (y-axis: percentages; x-axis: months) 34
Figure 8. IRFs following a monetary policy shock conditional on short-rate volatility (y-axis: percentages; x-axis: months) 35
