ECB Monetary Policy and Term Structure of Interest Rates in the Euro Area: an Empirical Analysis

Filippo Cossetti () and Francesco Guidi

No 334, Working Papers from Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali

Abstract: This paper aims to explore the effects of the ECB monetary policy on the Euro area yield curve. Using cointegration techniques, this paper investigates the long-run relationships among the EONIA and Euro area money market interest rates. Results show that presence of cointegration was rejected for maturities longer than six years, implying that European Central Bank monetary policy actions do not exert significant impact on the entire spectrum of the yield curve. In addition, we also consider the transmission of EONIA interest rate volatility to the money market interest rates using EGARCH models. We find that EONIA volatility is transmitted to short and medium-period interest rates, whereas longer-term rates are not affected.

Keywords: EGARCH models; Monetary policy; cointegration; term structure of interest rates (search for similar items in EconPapers)
JEL-codes: E42 E43 E58 (search for similar items in EconPapers)
Pages: 30
Date: 2009-11
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:anc:wpaper:334

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