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

Author

Listed:
  • C. Jardet
  • G. Le Fol

    (EPEE - Centre d'Etudes des Politiques Economiques - UEVE - Université d'Évry-Val-d'Essonne)

Abstract

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. © 2009 John Wiley & Sons, Ltd.

Suggested Citation

  • C. Jardet & G. Le Fol, 2010. "Euro money market interest rate dynamics and volatility: How they respond to recent changes in the operational framework," Post-Print hal-02877978, HAL.
  • Handle: RePEc:hal:journl:hal-02877978
    DOI: 10.1002/ijfe.403
    Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-02877978
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    Cited by:

    1. Beaupain, Renaud & Durré, Alain, 2016. "Excess liquidity and the money market in the euro area," Journal of Macroeconomics, Elsevier, vol. 47(PA), pages 33-44.
    2. Eleftherios Thalassinos & Konstantinos Liapis & John E. Thalassinos, 2011. "The Regulation Framework for the Banking Sector: The EMU, European Banks and Rating Agencies before and during the Recent Financial and Debt Crisis," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, vol. 1(39), pages 250-279.
    3. C. Emre Alper & R. Armando Morales & Fan Yang, 2017. "Monetary Policy Implementation and Volatility Transmission Along the Yield Curve: The Case of Kenya," South African Journal of Economics, Economic Society of South Africa, vol. 85(3), pages 455-478, September.
    4. John Thalassinos & Konstantinos Liapis, 2011. "Measuring a Bank’s Financial Health: A Case Study for the Greek Banking Sector," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 135-172.
    5. Osborne, Matthew, 2016. "Monetary policy and volatility in the sterling money market," Bank of England working papers 588, Bank of England.

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    More about this item

    Keywords

    Eonia; European money market; Liquidity effect; Operational framework;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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