Zagaglia, Paolo; Marzo, Massimilano - In: Journal of finance and investment analysis 2 (2013) 1, pp. 85-100
We investigate the money-market impact of the reform of the operational framework of the European Central Bank that … 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 …