Volatility Transmission of Overnight Rate along the Yield Curve in Pakistan

摘要: This paper presented the empirical results of volatility transmission overnight rate along yield curve in case Pakistan. The indicate that repo is higher at shorter end while lower longer end. These are line with both theoretical and underpinning interest rates process found other countries. Moreover, also suggest pass-through level to market decreased after State Bank Pakistan (SBP) adopted corridor framework August 2009. indicates enhancement effective smooth SBP policy changes under current framework. However, absence any explicit desired operational target monetary still imparts when compared countries following similar