EconStor >
Deutsche Bundesbank, Forschungszentrum, Frankfurt am Main >
Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/19629
  
Title:The dynamic relationship between the Euro overnight rate, the ECB´s policy rate and the term spread PDF Logo
Authors:Offermanns, Christian J.
Nautz, Dieter
Issue Date:2006
Series/Report no.:Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2006,01
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.
Subjects:Monetary Policy Implementation
Term Structure of Interest Rates
Nonlinear Cointegration
JEL:E43
E52
Document Type:Working Paper
Appears in Collections:Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank

Files in This Item:
File Description SizeFormat
200601dkp.pdf268.03 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/19629

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.