Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/159500
Authors: 
Marzo, Massimiliano
Zagaglia, Paolo
Year of Publication: 
2009
Series/Report no.: 
Quaderni - Working Paper DSE 659
Abstract: 
This note reconsiders the impact of the reform of the operational framework of the European Central Bank that took place in March 2004. We estimate a bivariate GARCH model with the overnight rate and 1-year swap rate, where identifying restrictions are imposed on the conditional variance. Differently from previous studies, we use a measure of structural correlation to show that the 1-year swap segment has decoupled from the overnight rate as the two rates do not co-vary any longer.
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by-nc/3.0/
Document Type: 
Working Paper

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