On the persistence of the Eonia spread
The European overnight rate (Eonia) signals the monetary policy stance of the European Central Bank. Controllability of the Eonia requires that the persistence of the spread between the Eonia and the key policy rate remains sufficiently low. We apply fractional integration techniques to examine its (changing) persistence.
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- 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.
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