A further look at the 2004 reform of the operational framework of the ECB
AbstractThis 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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Bibliographic InfoPaper provided by Dipartimento Scienze Economiche, Universita' di Bologna in its series Working Papers with number 659.
Date of creation: Mar 2009
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Other versions of this item:
- Marzo, Massimiliano & Zagaglia, Paolo, 2009. "A Further Look at the 2004 Reform of the Operational Framework of the ECB," Research Papers in Economics 2009:8, Stockholm University, Department of Economics.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-05-16 (All new papers)
- NEP-CBA-2009-05-16 (Central Banking)
- NEP-EEC-2009-05-16 (European Economics)
- NEP-MON-2009-05-16 (Monetary Economics)
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