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The dynamic relationship between the euro overnight rate, the ECB's policy rate and the term spread
16 references·15 citing·44 second hop
The dynamic relationship between the euro overnight rate, the ECB's policy rate and the term spread (2006)The dynamic relationship between the euro…Banks’ regulatory capital buffer and the business cycle: Evidence for Germany (2009)Banks’ regulatory capital buf…Accounting for distress in bank mergers (2007)Accounting for distress in ba…The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates* (2006)The Role of Asymmetries and R…The Daily Market for Funds in Europe: What Has Changed with the EMU? 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(2008)What Explains the Spread betw…On the persistence of the Eonia spread (2008)On the persistence of the Eon…Volatility transmission in the European money market (2007)Volatility transmission in th…Trends and random walks in macroeconmic time series (1982)Testing for Common Trends (1988)Cointegration and Threshold Adjustment (2001)Financial development and economic growth: evidence from panel unit root and cointegration tests (2003)Asymmetric Price Transmission: A Survey (2004)The Information in Long-Maturity Forward Rates (1987)The federal funds rate and the channels of monetary transmission (1989)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Macroeconomic news and bond market volatility1We thank Walter Toshi Baily, Bob Korajczyk, Jim Poterba, Mark Watson, seminar participants at the University of Chicago, Columbia University, Cornell University, and the University of Montreal, and especially Ludger Hentschel (the referee) for helpful comments. We also thank Mark Mitchell for supplying data, and Amy C. Ko and Sydney Ludvigson for research assistance. Lamont was supported by the FMC Faculty Research Fund at the Graduate School of Business, University of Chicago. A portion of this research was completed while Lumsdaine was a National Fellow at the Hoover Institution. We also thank the Financial Research Center at Princeton University for support. 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References

  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1998Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates1,203 cited
  • 1989Investigation of production, sales and inventory relationships using multicointegration and non-symmetric error correction models579 cited
  • 1996The Daily Market for Federal Funds426 cited
  • 1998Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates380 cited
  • 1995Federal Reserve interest rate targeting, rational expectations, and the term structure373 cited
  • 1995Federal Reserve interest rate targeting, rational expectations, and the term structure356 cited
  • 2002A Model of the Federal Funds Rate Target262 cited
  • 1999The Monetary Policy Strategy of the ECB227 cited
  • 2009Banks’ regulatory capital buffer and the business cycle: Evidence for Germany222 cited
  • 2003The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation144 cited
  • 2000Interbank payments and the daily federal funds rate130 cited
  • 2006The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates*122 cited
  • 2007Accounting for distress in bank mergers114 cited

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2006
The Daily Market for Funds in Europe: What Has Changed with the EMU?
107 cited
  • 2001The ECB monetary policy strategy and the money market84 cited
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    • 2011An Assessment of Monetary Policy Effectiveness in POLONIA Rate Stabilization During Financial Crisis15 cited
    • 2012Central Bank Communication and the Perception of Monetary Policy by Financial Market Experts14 cited
    • 2009Controllability and Persistence of Money Market Rates along the Yield Curve: Evidence from the Euro Area10 cited