The dynamic relationship between the euro overnight rate, the ECB's policy rate and the term spread

Dieter Nautz · Christian J. Offermanns

55 citations0/0 files storedInternational Journal of Finance & Economics

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Monetary Policy and Economic Impact Banking stability, regulation, efficiency European Monetary and Fiscal Policies

Abstract

Abstract This paper investigates how the dynamic adjustment of the European overnight rate Eonia to the term spread and the European Central Bank's (ECB's) policy rate is 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. Copyright © 2006 John Wiley & Sons, Ltd.

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References

1987Cointegration and Tests of Present Value Models 1998Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates 1989Investigation of production, sales and inventory relationships using multicointegration and non-symmetric error correction models 1996The Daily Market for Federal Funds 1998Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates 1995Federal Reserve interest rate targeting, rational expectations, and the term structure 1995Federal Reserve interest rate targeting, rational expectations, and the term structure 2002A Model of the Federal Funds Rate Target

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