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 Stockholm University, Department of Economics in its series Research Papers in Economics with number 2009:8.
Length: 14 pages
Date of creation: 15 Feb 2009
Date of revision:
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Postal: Department of Economics, Stockholm, S-106 91 Stockholm, Sweden
Phone: +46 8 16 20 00
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Money Market; Multivariate GARCH; Structural Identification;
Other versions of this item:
- M. Marzo & P. Zagaglia, 2009. "A further look at the 2004 reform of the operational framework of the ECB," Working Papers 659, Dipartimento Scienze Economiche, Universita' di Bologna.
- 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-2009-02-28 (All new papers)
- NEP-CBA-2009-02-28 (Central Banking)
- NEP-IFN-2009-02-28 (International Finance)
- NEP-MAC-2009-02-28 (Macroeconomics)
- NEP-MON-2009-02-28 (Monetary Economics)
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