Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework

At the beginning of 2004, the Eurosystem implemented several modifications of its operational framework and liquidity management aiming at enhancing market efficiency. The purpose of this article is to study the effects of theses changes in the spread between the Eonia and the minimum bid rate. Our results reflect that both the operational changes as well as the new liquidity management are responsible for a significant decrease in the interest rate volatility.

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Year of publication:	2010
Authors:	Jardet, Caroline ; Le Fol, Gaëlle
Institutions:	Université Paris-Dauphine (Paris IX)
Subject:	effet de liquidité \| cadre opérationnel \| Marché monétaire européen \| European money market \| Eonia \| operational framework \| liquidity effect

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Extent:	application/pdf
Series:	Economics Papers from University Paris Dauphine.
Type of publication:	Book / Working Paper
Notes:	Published in International Journal of Finance and Economics, 2010, Vol. 15, no. 4. pp. 316-330.Length: 14 pages
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; E58 - Central Banks and Their Policies ; E52 - Monetary Policy (Targets, Instruments, and Effects) ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011074302