Analyzing The Relationship Between Eonia And Eoniaswap Rates. A Cointegration Approach
AbstractThe aim of this paper is to analyze the behavior of Eoniaswap rates at different maturities during the 2007-2013 period. This index is representative for the Eurozone interbank swap market and its evolution is significantly influenced by the monetary policy of the European Central Bank. In order to asses this influence, we apply stationarity tests, cointegration tests and a variance decomposition analysis for the interbank swap rates. The results show that Eoniaswap rates exhibit structural breaks,long-term memory and a persistent behavior. The variance of Eoniaswap rates at a certain maturity is influenced by shocks to other maturities of Eoniaswap rates, but shocks coming from Eonia interbank rate are rapidly absorbed. Johansen cointegration test confirms the existence of long-run equilibrium relationship between Eonia and Eoniaswap rates.
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Bibliographic InfoArticle provided by Institute of National Economy in its journal Romanian Journal of Economics.
Volume (Year): 38 (2014(XXIV))
Issue (Month): 1(47) (June)
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More information through EDIRC
Eoniaswap rates; interbank markets; cointegration; structural breaks; variance decomposition;
Find related papers by JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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