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ArticleOn the persistence of the Eonia spread

Uwe Hassler2008

Article2008

On the persistence of the Eonia spread

Uwe Hassler · Dieter Nautz

51 citations·0/0 files stored·Economics Letters

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Banking stability, regulation, efficiency

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References

1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1996Long memory processes and fractional integration in econometrics 1995Gaussian Semiparametric Estimation of Long Range Dependence 1998The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series 2002Inference on the cointegration rank in fractionally integrated processes 2006The Daily Market for Funds in Europe: What Has Changed with the EMU?2003A Comprehensive Model on the Euro Overnight Rate 2006The dynamic relationship between the euro overnight rate, the ECB's policy rate and the term spread

Cited by

2011The EONIA spread before and during the crisis of 2007–2009: The role of liquidity and credit risk 2009Detecting changes from short to long memory 2009Declining valuations and equilibrium bidding in central bank refinancing operations 2008What Explains the Spread between the Euro Overnight Rate and the ECB's Policy Rate?2011Monetary policy implementation and overnight rate persistence

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Year2008

Typearticle

Published2008-08-16

VenueEconomics Letters

ISSN-L0165-1765

Languageen

Citations51

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.econlet.2008.08.004

openalex_workW2070595129

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2013Determinants of the EONIA Spread and the Financial Crisis

2010Monetary policy implementation and overnight rate persistence

2011An Assessment of Monetary Policy Effectiveness in POLONIA Rate Stabilization During Financial Crisis