On the persistence of the Eonia spread
Uwe Hassler and
Dieter Nautz ()
Economics Letters, 2008, vol. 101, issue 3, 184-187
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)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:101:y:2008:i:3:p:184-187
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