Euro money market interest rates dynamics and volatility

Caroline Jardet () and Gaelle Le Fol

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Abstract: At the beginning of 2004, the Eurosystem implemented several modifications of its operational framework and liquidity management aiming at enhancing market efficiency. The purpose of this article is to study the effects of these changes in the spread between the Eonia and the minimum bid rate. Our results reflect that both the operational changes as well as the new liquidity management are responsible for a significant decrease in the interest rate volatility.

Keywords: European money market; EONIA; Operational framework; Liquidity effect.; Marché monétaire européen; cadre opérationnel; effet de liquidité. (search for similar items in EconPapers)
Date: 2010
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Published in International Journal of Finance and Economics, 2010, 15 (4), pp.316-330

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00876971

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