This article studies the effects of monetary policy implementation on the Euro area money market. In particular, volatility of interest rates with various maturities and volatility transmission along the yield curve are analysed. It is found that the way how monetary policy is implemented...

The overnight interest rate is the price paid for one day loans and defines the short end of the yield curve. It is the equilibrium outcome of supply and demand for bank reserves. This paper models the intertemporal decision problems in the reserve market for both central and commercial banks....