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

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Author Info
Jardet, C.
Le Fol, G.
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.

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File URL: http://www.banque-france.fr/gb/publications/telechar/ner/ner167.pdf
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Publisher Info
Paper provided by Banque de France in its series Documents de Travail with number 167.

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Length: 30 pages
Date of creation: 2007
Date of revision:
Handle: RePEc:bfr:banfra:167

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Postal: Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS
Web page: http://www.banque-france.fr/
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Related research
Keywords: European money market ; Eonia ; Operational framework ; Liquidity effect.;

Find related papers by JEL classification:
E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates

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