The dynamic relationship between the euro overnight rate, the ECB's policy rate and the term spread
Dieter Nautz () and
Christian J. Offermanns
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Christian J. Offermanns: Goethe University Frankfurt, Germany, Postal: Goethe University Frankfurt, Germany
International Journal of Finance & Economics, 2007, vol. 12, issue 3, 287-300
This paper investigates how the dynamic adjustment of the European overnight rate Eonia to the term spread and the European Central Bank's (ECB's) policy rate is affected by rate expectations and the operational framework of the ECB. In line with recent evidence found for the US and Japan, the reaction of the Eonia to the term spread is non-symmetric. Moreover, the response of the Eonia to the policy rate depends on both, the repo auction format and the position of the Eonia in the ECB's interest rate corridor. Copyright © 2006 John Wiley & Sons, Ltd.
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Working Paper: The dynamic relationship between the Euro overnight rate, the ECB´s policy rate and the term spread (2006)
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