@techreport{Offermanns2006dynamic,
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.},
author = {Christian J. Offermanns and Dieter Nautz},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {E43; E52; 330; Monetary Policy Implementation; Term Structure of Interest Rates; Nonlinear Cointegration; Zinspolitik; Wirtschaftspolitische Wirkungsanalyse; Zinsstruktur; Europ\"{a}ische Wirtschafts- und W\"{a}hrungsunion; EU-Staaten},
language = {eng},
number = {2006,01},
title = {The dynamic relationship between the Euro overnight rate, the ECB\textasciiacute{}s policy rate and the term spread},
type = {Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank},
url = {http://hdl.handle.net/10419/19629},
year = {2006}
}
