Is the volatility of the EONIA transmitted to longer-term euro money market interest rates?
AbstractThis paper analyses the volatility of euro money market interest rates and tests for the existence of volatility transmission from overnight rates to longer term rates. The results suggest that a significant proportion of the volatility of the EONIA is transmitted to 1 month and 3 month interest rates during most days. However, the abnormally high volatility during the last two days of the maintenance period does not seem to be transmitted to longer term rates.
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Bibliographic InfoPaper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 0541.
Length: 38 pages
Date of creation: Nov 2005
Date of revision:
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