Artículo
The Role of Eonia in the Dynamics of Short-Term Interbank Rates
Autor/es | Vides González, José Carlos
Golpe, Antonio A. Iglesias Garrido, Jesús |
Departamento | Universidad de Sevilla. Departamento de Economía Financiera y Dirección de Operaciones |
Fecha de publicación | 2020 |
Fecha de depósito | 2021-08-18 |
Publicado en |
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Resumen | To signal monetary policies and market expectations, we apply a
fractionally cointegrated vector autoregressive (FCVAR) model, aiming to ana-
lyse the expectations hypothesis of term structure (EHTS), persistence in ... To signal monetary policies and market expectations, we apply a fractionally cointegrated vector autoregressive (FCVAR) model, aiming to ana- lyse the expectations hypothesis of term structure (EHTS), persistence in the Euro Over Night Index Average (Eonia) spread and permanent-transitory decom- position using a novel approach. We use a monthly frequency sample for the 3- month Euribor rate and Eonia rate, covering the period from January 1999 to February 2019. The results obtained confirm the EHTS and show evidence of a high persistence of the spread, which means that shocks may impede effective- ness in monetary policy and that the European Central Bank (ECB) loses control over interest rates. Additionally, according to permanent-transitory decomposi- tion, we determine that the Eonia rate has a permanent component and thus dominates the common trend in the cointegration system. In sum, if the ECB wants to keep the interbank market interest rates under control, it must contem- plate the evolution of the Eonia rate. |
Cita | Vides, J.C., Golpe, A.A. y Iglesias Garrido, J. (2020). The Role of Eonia in the Dynamics of Short-Term Interbank Rates. Panoeconomicus, 67 (2), 225-240. |
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