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INTEREST RATE MOVEMENTS AND THE 6/50 RULE - CROATIAN EXAMPLE

According to the Crestmont Research, in the past 40 years, there has not been a 6-month period during which interest rates did not change at least 50 basis points in the USA. This valuable empirical evidence about interest rates volatility we tested in Croatia. The research shows that in 98.2% of successive 6-month period the move of Zagreb Money Market weighted interest rate was more than 50 basis points, in 93.3% of the successive 6-month periods between two auction T- bill realized yields have changed more than 50 basis points at some point across the yield curve and if we observe Zagreb Inter Bank Offer Rate the importance of the 6/50 rule is even bigger if the time line is shorter.

6/50 Rule; empirical evidence about interest rates volatility

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