Work

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

Year: 2006

Type: article

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.

Source: International Journal of Finance & Economics

DOI: 10.1002/ijfe.313

Authors: Dieter Nautz, Christian J. Offermanns

Institution: Goethe University Frankfurt

Language: English

Topic: Monetary Policy and Economic Impact

Subfield: General Economics, Econometrics and Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: Deutsche Forschungsgemeinschaft

OpenAlex ID: W2011893978