• central banks
• credibility
• garch models
• monetary policy

The purpose of this paper is to update the conclusion of the paper of Levieuge et al. (2018) on the impact of a credibility index on the volatility of the main monetary policy instrument, namely the short-term interest rate. Thus, in the paper it will be reviewed the literature on credibility of central banks, it will be simulated the behaviour of many indicators of credibility with new updated data and it will be studied the impact of a credibility index on the volatility of the short-term interest rate. In the first part a review of the literature on credibility from the 70’s to nowadays is given. In the second part the performances of many credibility indicators are updated with new recent data and their behaviour is analyzed. In the third part many regressions are estimated in order to study the impact of the latest credibility index proposed in the literature on the volatility of the short-term interest rate. To pursue this goal many econometric tools are used and compared each other in order to test the strenght of the findings.