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On the persistence of the Eonia spread

Uwe Hassler and Dieter Nautz ()

Economics Letters, 2008, vol. 101, issue 3, 184-187

Abstract: The European overnight rate (Eonia) signals the monetary policy stance of the European Central Bank. Controllability of the Eonia requires that the persistence of the spread between the Eonia and the key policy rate remains sufficiently low. We apply fractional integration techniques to examine its (changing) persistence.

Keywords: Long; memory; and; fractional; integration; Controllability; and; persistence; of; interest; rates; New; operational; framework; of; the; ECB (search for similar items in EconPapers)
Date: 2008
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Handle: RePEc:eee:ecolet:v:101:y:2008:i:3:p:184-187