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

  • Jardet, Caroline
  • Le Fol, Gaëlle

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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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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