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Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework

Jardet, Caroline; Le Fol, Gaëlle (2010), Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework, International Journal of Finance and Economics, 15, 4, p. 316-330. http://dx.doi.org/10.1002/ijfe.403

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Type
Article accepté pour publication ou publié
Date
2010
Journal name
International Journal of Finance and Economics
Volume
15
Number
4
Publisher
Wiley
Pages
316-330
Publication identifier
Metadata
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Author(s)
Jardet, Caroline
Le Fol, Gaëlle
Abstract (FR)
En mars 2004, l’Eurosystème a mis en place différentes modifications de son cadre opérationnel et de sa gestion de la liquidité. L’objectif de cet article est d’étudier les effets de ces changements sur le niveau et la volatilité de l’écart entre l’Eonia et le taux de soumission minimum. Nos résultats montrent que ces changements ont globalement eu un effet positif sur le niveau et la volatilité du spread. La baisse de la volatilité observée après 2004 est largement expliquée par ces modifications.
Abstract (EN)
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 theses 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.
Subjects / Keywords
effet de liquidité; cadre opérationnel; Marché monétaire européen; European money market; Eonia; operational framework; liquidity effect
JEL
E43 - Interest Rates: Determination, Term Structure, and Effects
E58 - Central Banks and Their Policies
E52 - Monetary Policy
G12 - Asset Pricing; Trading Volume; Bond Interest Rates
G14 - Information and Market Efficiency; Event Studies; Insider Trading