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A further look at the 2004 reform of the operational framework of the ECB

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  • M. Marzo
  • P. Zagaglia

Abstract

This note reconsiders the impact of the reform of the operational framework of the European Central Bank that took place in March 2004. We estimate a bivariate GARCH model with the overnight rate and 1-year swap rate, where identifying restrictions are imposed on the conditional variance. Differently from previous studies, we use a measure of structural correlation to show that the 1-year swap segment has decoupled from the overnight rate as the two rates do not co-vary any longer.

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Paper provided by Dipartimento Scienze Economiche, Universita' di Bologna in its series Working Papers with number 659.

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Date of creation: Mar 2009
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Handle: RePEc:bol:bodewp:659

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