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Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework

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  • Caroline Jardet

    (Banque de France, France)

  • Gaelle Le Fol

Abstract

At the beginning of 2004, the Eurosystem implemented several modifications of its operational framework and liquidity management aiming at enhancing market efficiency. The purpose of this article is to study the effects of theses changes in the spread between the Eonia and the minimum bid rate. Our results reflect that both the operational changes as well as the new liquidity management are responsible for a significant decrease in the interest rate volatility. Copyright © 2009 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/ijfe.403
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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics.

Volume (Year): 15 (2010)
Issue (Month): 4 ()
Pages: 316-330

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Handle: RePEc:ijf:ijfiec:v:15:y:2010:i:4:p:316-330

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Cited by:
  1. John Thalassinos & Konstantinos Liapis, 2011. "Measuring a Bank’s Financial Health: A Case Study for the Greek Banking Sector," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 135-172.
  2. Eleftherios Thalassinos & Konstantinos Liapis & John E. Thalassinos, 2011. "The Regulation Framework for the Banking Sector: The EMU, European Banks and Rating Agencies before and during the Recent Financial and Debt Crisis," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, vol. 1(39), pages 250-279.

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