A Further Look at the 2004 Reform of the Operational Framework of the ECB

Massimiliano Marzo and Paolo Zagaglia

No 2009:8, Research Papers in Economics from Stockholm University, Department of Economics

Abstract: This note reconsiders the impact of the reform of the operational framework of the European Central Bank that took place in March 2004. We estimate a bivariate GARCH model with the overnight rate and 1-year swap rate, where identifying restrictions are imposed on the conditional variance. Differently from previous studies, we use a measure of structural correlation to show that the 1-year swap segment has decoupled from the overnight rate as the two rates do not co-vary any longer.

Keywords: Money Market; Multivariate GARCH; Structural Identification (search for similar items in EconPapers)
JEL-codes: C22 E58 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2009-02-15
New Economics Papers: this item is included in nep-cba, nep-ifn, nep-mac and nep-mon
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Working Paper: A further look at the 2004 reform of the operational framework of the ECB (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:sunrpe:2009_0008

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