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

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  • Jardet, Caroline
  • Le Fol, Gaëlle

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://basepub.dauphine.fr/xmlui/bitstream/123456789/5391/1/euromoney_market.PDF
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Bibliographic Info

Paper provided by Paris Dauphine University in its series Economics Papers from University Paris Dauphine with number 123456789/5391.

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Date of creation: 2010
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Publication status: Published in International Journal of Finance and Economics, 2010, Vol. 15, no. 4. pp. 316-330.Length: 14 pages
Handle: RePEc:dau:papers:123456789/5391

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Related research

Keywords: effet de liquidité; cadre opérationnel; Marché monétaire européen; European money market; Eonia; operational framework; liquidity effect;

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  1. Bartolini, Leonardo & Bertola, Giuseppe & Prati, Alessandro, 2002. "The Overnight Interbank Market: Evidence from the G7 and the Euro Zone," CEPR Discussion Papers 3090, C.E.P.R. Discussion Papers.
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Cited by:
  1. John Thalassinos & Konstantinos Liapis, 2011. "Measuring a Bank’s Financial Health: A Case Study for the Greek Banking Sector," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 135-172.
  2. Eleftherios Thalassinos & Konstantinos Liapis & John E. Thalassinos, 2011. "The Regulation Framework for the Banking Sector: The EMU, European Banks and Rating Agencies before and during the Recent Financial and Debt Crisis," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, vol. 1(39), pages 250-279.

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