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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19629| Title: | The dynamic relationship between the Euro overnight rate, the ECB´s policy rate and the term spread |
| Keywords: | E43 E52 ddc:330 Monetary Policy Implementation Term Structure of Interest Rates Nonlinear Cointegration Zinspolitik Wirtschaftspolitische Wirkungsanalyse Zinsstruktur Europäische Wirtschafts- und Währungsunion EU-Staaten |
| Issue Date: | 16-Oct-2013 |
| Description: | 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. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/19629 |
| Other Identifiers: | http://hdl.handle.net/10419/19629 ppn:507599284 RePEc:zbw:bubdp1:4238 |
| Appears in Collections: | EconStor |
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