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The dynamic relationship between the euro overnight rate, the ECB's policy rate and the term spread

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Author Info
Dieter Nautz (Goethe University Frankfurt, Germany)
Christian J. Offermanns (Goethe University Frankfurt, Germany)
Abstract

This paper investigates how the dynamic adjustment of the European overnight rate Eonia to the term spread and the European Central Bank's (ECB's) policy rate is affected by rate expectations and the operational framework of the ECB. In line with recent evidence found for the US and Japan, the reaction of the Eonia to the term spread is non-symmetric. Moreover, the response of the Eonia to the policy rate depends on both, the repo auction format and the position of the Eonia in the ECB's interest rate corridor. Copyright © 2006 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/ijfe.313
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Article provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics.

Volume (Year): 12 (2007)
Issue (Month): 3 ()
Pages: 287-300
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Handle: RePEc:ijf:ijfiec:v:12:y:2007:i:3:p:287-300

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References listed on IDEAS
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.:
  1. Vítor Gaspar & Gabriel Pérez Quirós & Hugo Rodríguez Mendizábal, 2004. "Interest rate determination in the interbank market," Working Paper Series 351, European Central Bank. [Downloadable!]
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  2. Juan Ayuso & Rafael Repullo, 2003. "A Model of the Open Market Operations of the European Central Bank," Economic Journal, Royal Economic Society, vol. 113(490), pages 883-902, October. [Downloadable!] (restricted)
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  3. Nautz, Dieter, 1997. "How Auctions Reveal Information: A Case Study on German REPO Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 17-25, February.
  4. Richard H. Clarida & Lucio Sarno & Mark P. Taylor & Giorgio Valente, 2006. "The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates," Journal of Business, University of Chicago Press, vol. 79(3), pages 1193-1224, May. [Downloadable!]
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  5. Dieter Nautz & Jörg Oechssler, 2003. "Overbidding in Fixed Rate Tenders - An Empirical Assessment of Alternative Explanations," Bonn Econ Discussion Papers bgse10_2003, University of Bonn, Germany. [Downloadable!]
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  6. James D. Hamilton & Oscar Jorda, 2002. "A Model of the Federal Funds Rate Target," Journal of Political Economy, University of Chicago Press, vol. 110(5), pages 1135-1167, October. [Downloadable!] (restricted)
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  7. Bartolini, Leonardo & Prati, Alessandro, 2006. "Cross-country differences in monetary policy execution and money market rates' volatility," European Economic Review, Elsevier, vol. 50(2), pages 349-376, February. [Downloadable!] (restricted)
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  1. Silvio Colarossi & Andrea Zaghini, 2007. "Gradualism, Transparency and Improved Operational Framework: A Look at the Overnight Volatility Transmission," CFS Working Paper Series 2007/16, Center for Financial Studies. [Downloadable!]
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