ANALYZING THE RELATIONSHIP BETWEEN EONIA AND EONIASWAP RATES. A COINTEGRATION APPROACH

Codruta Maria Fat () and Simona Mutu ()
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Codruta Maria Fat: Faculty of Economics and Business Administration, Babes-Bolyai University, Cluj-Napoca
Simona Mutu: Faculty of Economics and Business Administration, Babes-Bolyai University, Cluj Napoca

Romanian Journal of Economics, 2014, vol. 38, issue 1(47), 197-207

Abstract: The aim of this paper is to analyze the behavior of Eoniaswap rates at different maturities during the 2007-2013 period. This index is representative for the Eurozone interbank swap market and its evolution is significantly influenced by the monetary policy of the European Central Bank. In order to asses this influence, we apply stationarity tests, cointegration tests and a variance decomposition analysis for the interbank swap rates. The results show that Eoniaswap rates exhibit structural breaks,long-term memory and a persistent behavior. The variance of Eoniaswap rates at a certain maturity is influenced by shocks to other maturities of Eoniaswap rates, but shocks coming from Eonia interbank rate are rapidly absorbed. Johansen cointegration test confirms the existence of long-run equilibrium relationship between Eonia and Eoniaswap rates.

Keywords: Eoniaswap rates; interbank markets; cointegration; structural breaks; variance decomposition (search for similar items in EconPapers)
JEL-codes: E43 E50 G10 G21 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:ine:journl:v:2:y:2014:i:44:p:197-207

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