文章基本信息

标题：Interest rate volatility: a consol rate-based measure
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作者：Vincent Brousseau ; Alain Durré
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2013
出版社：European Central Bank
摘要：In this paper we propose a new methodology to estimate the volatility of interest rates in the euro area money market. In particular, our ap- proach aims at avoiding the limitations of currently available measures, i.e. the dependency on arbitrary choices in terms of maturity and fre- quencies and/or of factors other than pure interest rates, e.g. credit risk or liquidity risk. The measure is constructed as the implied instantaneous volatility of a consol bond that would be priced on the EONIA swap curve over the sample period from 4 January 1999 to 20 November 2012. We show that this measure tracks well the historical volatility, in the sense that dividing the consol excess returns by this volatility removes nearly entirely excess of kurtosis and volatility clustering, bringing them close to an ordinary Gaussian white noise.
关键词：consol rate; historical volatility; overnight money market; in-;terbank o¤ered interest rates