Volatility transmission in the European money market
The European overnight rate (Eonia) is the operational target of the European Central Bank (ECB) that signals the monetary policy stance and anchors the term structure of interest rates. This paper empirically investigates the transmission of Eonia volatility to longer term money market rates. Distinguishing between seasonal Eonia volatility due to, e.g., calendar effects and non-seasonal volatility which may be closer related to uncertainty about the policy intentions of the ECB reveals a significant volatility transmission even for the twelve-month rate. We also examine how the ECB's new operational framework introduced in March 2004 has influenced the Eonia and the transmission of volatility along the yield curve.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 19 (2008)
Issue (Month): 1 (March)
|Contact details of provider:|| Web page: http://www.elsevier.com/locate/inca/620163|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Whitesell, William, 2006. "Interest rate corridors and reserves," Journal of Monetary Economics, Elsevier, vol. 53(6), pages 1177-1195, September.
- Vítor Gaspar & Gabriel Perez-Quiros & Jorge Sicilia, 2001.
"The ECB monetary policy strategy and the money market,"
47, Oesterreichische Nationalbank (Austrian Central Bank).
- Gaspar, Vitor & Perez-Quiros, Gabriel & Sicilia, Jorge, 2001. "The ECB Monetary Policy Strategy and the Money Market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(4), pages 325-42, October.
- Gaspar, Vítor & Pérez Quirós, Gabriel & Sicilia, Jorge, 2001. "The ECB monetary policy strategy and the money market," Working Paper Series 0069, European Central Bank.
- Nautz, Dieter, 1998. "Banks' demand for reserves when future monetary policy is uncertain," Journal of Monetary Economics, Elsevier, vol. 42(1), pages 161-183, June.
- Offermanns, Christian J. & Nautz, Dieter, 2006.
"The dynamic relationship between the Euro overnight rate, the ECB´s policy rate and the term spread,"
Discussion Paper Series 1: Economic Studies
2006,01, Deutsche Bundesbank, Research Centre.
- Dieter Nautz & Christian J. Offermanns, 2007. "The dynamic relationship between the euro overnight rate, the ECB's policy rate and the term spread," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(3), pages 287-300.
- Furfine, Craig, 2003. "Standing Facilities and Interbank Borrowing: Evidence from the Federal Reserve's New Discount Window," International Finance, Wiley Blackwell, vol. 6(3), pages 329-47, Winter.
- Juan Ayuso & Andrew Haldane & Fernando Restoy, 1997. "Volatility transmission along the money market yield curve," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 133(1), pages 56-75, March.
- Nautz, Dieter, 1997. "How Auctions Reveal Information: A Case Study on German REPO Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 17-25, February.
- Nautz, Dieter & Oechssler, Jorg, 2006.
"Overbidding in fixed rate tenders--an empirical assessment of alternative explanations,"
European Economic Review,
Elsevier, vol. 50(3), pages 631-646, April.
- Dieter Nautz & Jörg Oechssler, 2003. "Overbidding in Fixed Rate Tenders - An Empirical Assessment of Alternative Explanations," Bonn Econ Discussion Papers bgse10_2003, University of Bonn, Germany.
- A. Durre & S. Nardelli, 2007. "Volatility in the euro area money market: effects from the monetary policy operational framework," Post-Print hal-00355025, HAL.
- Daniel L. Thornton, 2005. "When did the FOMC begin targeting the federal funds rate? what the verbatim transcripts tell us," Working Papers 2004-015, Federal Reserve Bank of St. Louis.
- Julius Moschitz, 2004. "Monetary Policy Implementation and Volatility in the Euro Area Money Market," Money Macro and Finance (MMF) Research Group Conference 2004 95, Money Macro and Finance Research Group.
- Tobias Linzert & Dieter Nautz & Jorg Breitung, 2004.
"Bidder behaviour in repo auctions without minimum bid rate: evidence from the Bundesbank,"
Money Macro and Finance (MMF) Research Group Conference 2003
55, Money Macro and Finance Research Group.
- Nautz, Dieter & Linzert, Tobias & Breitung, Jörg, 2003. "Bidder Behavior in Repo Auctions without Minimum Bid Rate: Evidence from the Bundesbank," Discussion Paper Series 1: Economic Studies 2003,13, Deutsche Bundesbank, Research Centre.
- Ángel León & Francis Benito & Juan Nave, 2006. "Modeling The Euro Overnight Rate," Working Papers. Serie AD 2006-11, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Hamilton, James D, 1996. "The Daily Market for Federal Funds," Journal of Political Economy, University of Chicago Press, vol. 104(1), pages 26-56, February.
- A. Durre & Stefano Nardelliz, 2007. "Volatility in the euro area money market : effects from the monetary policy operational framework," Post-Print hal-00297423, HAL.
When requesting a correction, please mention this item's handle: RePEc:eee:ecofin:v:19:y:2008:i:1:p:23-39. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.