Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/19629
Authors: 
Offermanns, Christian J.
Nautz, Dieter
Year of Publication: 
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

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