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The dynamic relationship between the Euro overnight rate, the ECB´s policy rate and the term spread

Christian J. Offermanns and Dieter Nautz ()

No 2006,01, Discussion Paper Series 1: Economic Studies from Deutsche Bundesbank

Abstract: This paper investigates how the dynamic adjustment of the European overnight rate Eonia to the term spread and the ECB's policy rate has been 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.

Keywords: Monetary Policy Implementation; Term Structure of Interest Rates; Nonlinear Cointegration (search for similar items in EconPapers)
JEL-codes: E43 E52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec, nep-fmk, nep-ifn, nep-mac and nep-mon
Date: 2006
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Journal Article: The dynamic relationship between the euro overnight rate, the ECB's policy rate and the term spread (2007) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubdp1:4238

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