 The information content of Eonia swap rates before and during the financial crisisLucía Hernandis and Hipolit Torro Journal of Banking & Finance, 2013, vol. 37, issue 12, 5316-5328 Abstract: Before August 2007, implied forward rates in the overnight interest swap rates closely reflected market expectations about the future path of the Eonia, and therefore, about the future course of the ECB’s monetary policy stance. Nevertheless, this link was weakened considerably during the most acute episode of the financial crisis. Using the expectations hypothesis of the term structure as a benchmark model for the determination of the overnight interest swap rates, we find that after May 2010 the monetary transmission mechanism was partially restored when the ECB implemented various ‘unconventional measures’ in response to the financial crisis. On the contrary, liquidity and credit risks are still present in unsecured deposit markets, distorting the pricing and transmission of the ECB monetary policy stance along the Euribor rates. These results should be of interest for regulators, financial institutions, and researchers in European money markets. Keywords: EONIA; Euribor; Swap; Expectations hypothesis; Cointegrated VAR models (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:37:y:2013:i:12:p:5316-5328 DOI: 10.1016/j.jbankfin.2013.08.001 Access Statistics for this article Journal of Banking & Finance is currently edited by Ike Mathur More articles in Journal of Banking & Finance from Elsevier |
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