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The dynamic relationship between the Euro overnight rate, the ECB´s policy rate and the term spread

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Author Info
Offermanns, Christian J.
Nautz, Dieter
Abstract

This paper investigates how the dynamic adjustment of the European overnight rate Eonia to the term spread and the ECB?s policy rate has been affected by rate expectations and the operational framework of the ECB. In line with recent evidence found for the US and Japan, the reaction of the Eonia to the term spread is non-symmetric. Moreover, the response of the Eonia to the policy rate depends on both, the repo auction format and the position of the Eonia in the ECB?s interest rate corridor.

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Paper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 1: Economic Studies with number 2006,01.

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Date of creation: 2006
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Handle: RePEc:zbw:bubdp1:4238

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Related research
Keywords: Monetary Policy Implementation; Term Structure of Interest Rates; Nonlinear Cointegration;

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

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