The impact of the 2004 reform of the operational framework of the ECB : structural GARCH evidence

Paolo Zagaglia and Massimilano Marzo

We investigate the money-market impact of the reform of the operational framework of the European Central Bank that took place in March 2004. We estimate a structural bivariate GARCH model with the overnight rate and 1-year swap rate, where identifying restrictions are imposed on the conditional variances. Differently from previous studies, we use a measure of structural correlation to study the linkages between the short end and the longer end of the term structure of money market swaps. Our results indicate that the 1-year swap segment has decoupled from the overnight rate as the two rates do not co-vary any longer.

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Year of publication:	2013
Authors:	Zagaglia, Paolo ; Marzo, Massimilano
Published in:	Journal of finance and investment analysis. - Christchurch, New Zealand : Scientific Press International Limited, ISSN 2241-0996, ZDB-ID 2655150-0. - Vol. 2.2013, 1, p. 85-100
Subject:	money market \| multivariate GARCH \| structural identification \| ARCH-Modell \| ARCH model \| EU-Staaten \| EU countries \| Geldpolitik \| Monetary policy \| Geldmarkt \| Money market \| Eurozone \| Euro area \| Zentralbank \| Central bank

Extent:	graph. Darst.
Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Classification:	C22 - Time-Series Models ; E58 - Central Banks and Their Policies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10009746042