Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153762
Authors: 
Abbassi, Puriya
Linzert, Tobias
Year of Publication: 
2011
Series/Report no.: 
ECB Working Paper 1328
Abstract: 
The recent financial crisis deeply affected the money market yield curve and thus, potentially, the proper functioning of the interest rate channel of monetary policy transmission. Therefore, we analyze the effectiveness of monetary policy in steering euro area money market rates using two measures: first, the predictability of money market rates on the basis of monetary policy expectations, and second the impact of extraordinary central bank measures on money market rates. We find that market expectations about monetary policy are less relevant for money market rates up to 12 months after August 2007 compared to the pre-crisis period. At the same time, our results indicate that the ECB’s net increase in outstanding open market operations as of October 2008 accounts for at least a 100 basis point decline in Euribor rates. These findings show that central banks have effective tools at hand to conduct monetary policy in times of crises.
Subjects: 
European Central Bank
financial crisis
monetary policy implementation
monetary transmission mechanism
money market
JEL: 
E43
E52
E58
Document Type: 
Working Paper

Files in This Item:
File
Size





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