✦ LIBER ✦

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

✍ Scribed by Dieter Nautz; Christian J. Offermanns

Publisher: John Wiley and Sons
Year: 2007
Tongue: English
Weight: 196 KB
Volume: 12
Category: Article
ISSN: 1076-9307
DOI: 10.1002/ijfe.313

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✦ Synopsis

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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