Is the volatility of the EONIA transmitted to longer-term euro money market interest rates?

This paper analyses the volatility of euro money market interest rates and tests for the existence of volatility transmission from overnight rates to longer term rates. The results suggest that a significant proportion of the volatility of the EONIA is transmitted to 1 month and 3 month interest rates during most days. However, the abnormally high volatility during the last two days of the maintenance period does not seem to be transmitted to longer term rates.

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Year of publication:	2005-11
Authors:	Alonso, Francisco ; Blanco, Roberto
Institutions:	Banco de España

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Extent:	application/pdf
Series:	Banco de España Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 0541 38 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005590702