A further look at the 2004 reform of the operational framework of the ECB

Massimiliano Marzo and Paolo Zagaglia

Working Papers from Dipartimento Scienze Economiche, Universita' di Bologna

Abstract: This note reconsiders the impact of the reform of the operational framework of the European Central Bank that took place in March 2004. We estimate a bivariate GARCH model with the overnight rate and 1-year swap rate, where identifying restrictions are imposed on the conditional variance. Differently from previous studies, we use a measure of structural correlation to show that the 1-year swap segment has decoupled from the overnight rate as the two rates do not co-vary any longer.

Date: 2009-03
New Economics Papers: this item is included in nep-cba, nep-eec and nep-mon
References: Add references at CitEc
Citations:

Downloads: (external link)
http://amsacta.unibo.it/4587/1/659.pdf (application/pdf)

Related works:
Working Paper: A Further Look at the 2004 Reform of the Operational Framework of the ECB (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bol:bodewp:659

Access Statistics for this paper

More papers in Working Papers from Dipartimento Scienze Economiche, Universita' di Bologna Contact information at EDIRC.
Bibliographic data for series maintained by Dipartimento Scienze Economiche, Universita' di Bologna ().