Jordan, Thomas J.; Kugler, Peter - In: Swiss Journal of Economics and Statistics (SJES) 140 (2004) III, pp. 381-393
This paper provides an empirical analysis of the effects of the SNB's operating procedure on the adjustment speed and the volatility of Swiss franc Libor of different maturities. More precisely it presents econometric estimates of the effect of the two characteristics of the repo auctions on the...