Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/152501
Authors: 
Pérez Quirós, Gabriel
Rodríguez Mendizábal, Hugo
Year of Publication: 
2001
Series/Report no.: 
ECB Working Paper 67
Abstract: 
This paper presents evidence that the existence of deposit and lending facilities combined with an averaging provision for the reserve requirement are powerful tools to stabilize the overnight rate. We reach this conclusion by comparing the behavior of this rate in Germany before and after the beginning of the EMU. The analysis of the German experience is useful because it allows us to isolate specifically the effect on the overnight rate of these particular instruments of monetary policy. To show that this outcome is general and not a particular result for the German market, we develop a theoretical model of reserve management which is able to reproduce our empirical findings.
Subjects: 
martingale hypothesis
overnight rates
reserve demand
JEL: 
E44
E52
Document Type: 
Working Paper

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