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On the persistence of the Eonia spread

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  • Hassler, Uwe
  • Nautz, Dieter

Abstract

The European overnight rate (Eonia) signals the monetary policy stance of the European Central Bank. Controllability of the Eonia requires that the persistence of the spread between the Eonia and the key policy rate remains sufficiently low. We apply fractional integration techniques to examine its (changing) persistence.

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File URL: http://www.sciencedirect.com/science/article/B6V84-4T72WPY-1/2/f3273226cd58642cd9c29a1839e3f66a
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 101 (2008)
Issue (Month): 3 (December)
Pages: 184-187

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Handle: RePEc:eee:ecolet:v:101:y:2008:i:3:p:184-187

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Long memory and fractional integration Controllability and persistence of interest rates New operational framework of the ECB;

References

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  1. Joerg Breitung and Uwe Hassler, 2001. "Inference on the Cointegration Rank in Fractionally Integrated Processes," Computing in Economics and Finance 2001 233, Society for Computational Economics.
  2. Demetrescu, Matei & Kuzin, Vladimir & Hassler, Uwe, 2008. "Long Memory Testing In The Time Domain," Econometric Theory, Cambridge University Press, vol. 24(01), pages 176-215, February.
  3. Philipp Sibbertsen, 2004. "Long memory versus structural breaks: An overview," Statistical Papers, Springer, vol. 45(4), pages 465-515, October.
  4. Nautz, Dieter & Offermanns, Christian J., 2008. "Volatility transmission in the European money market," The North American Journal of Economics and Finance, Elsevier, vol. 19(1), pages 23-39, March.
  5. Haldrup, Niels & Nielsen, Morten Orregaard, 2007. "Estimation of fractional integration in the presence of data noise," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 3100-3114, March.
  6. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
  7. Offermanns, Christian J. & Nautz, Dieter, 2006. "The dynamic relationship between the Euro overnight rate, the ECB´s policy rate and the term spread," Discussion Paper Series 1: Economic Studies 2006,01, Deutsche Bundesbank, Research Centre.
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Citations

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Cited by:
  1. Busch, Ulrike & Nautz, Dieter, 2009. "Controllability and persistence of money market rates along the yield curve: evidence from the euro area," Discussion Papers 2009/5, Free University Berlin, School of Business & Economics.
  2. Abbassi, Puriya & Linzert, Tobias, 2012. "The effectiveness of monetary policy in steering money market rates during the financial crisis," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 945-954.
  3. Beirne, John, 2012. "The EONIA spread before and during the crisis of 2007–2009: The role of liquidity and credit risk," Journal of International Money and Finance, Elsevier, vol. 31(3), pages 534-551.
  4. Linzert, Tobias & Schmidt, Sandra, 2007. "What Explains the Spread Between the Euro Overnight Rate and the ECB's Policy Rate?," ZEW Discussion Papers 07-076, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  5. Nautz, Dieter & Scheithauer, Jan, 2010. "Monetary policy implementation and overnight rate persistence," Discussion Papers 2010/26, Free University Berlin, School of Business & Economics.
  6. Florian Heinen & Philipp Sibbertsen & Robinson Kruse, 2009. "Forecasting long memory time series under a break in persistence," CREATES Research Papers 2009-53, School of Economics and Management, University of Aarhus.
  7. Hernandis, Lucía & Torró, Hipòlit, 2013. "The information content of Eonia swap rates before and during the financial crisis," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5316-5328.
  8. Filippo COSSETTI & Francesco GUIDI, 2009. "ECB Monetary Policy and Term Structure of Interest Rates in the Euro Area: an Empirical Analysis," Working Papers 334, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  9. Heinen, Florian & Willert, Juliane, 2011. "Monitoring a change in persistence of a long range dependent time series," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Leibniz Universität Hannover dp-479, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  10. Ewerhart, Christian & Cassola, Nuno & Valla, Natacha, 2010. "Declining valuations and equilibrium bidding in central bank refinancing operations," International Journal of Industrial Organization, Elsevier, vol. 28(1), pages 30-43, January.
  11. Uwe Hassler & Jan Scheithauer, 2011. "Detecting changes from short to long memory," Statistical Papers, Springer, vol. 52(4), pages 847-870, November.

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