Volatility transmission in the European money market

Autor:	Christian J. Offermanns, Dieter Nautz
Rok vydání:	2008
Předmět:	Economics and Econometrics Eonia Overnight rate Volatility swap Monetary policy Volatility smile Economics Monetary economics Yield curve Implied volatility Volatility (finance) Finance
Zdroj:	The North American Journal of Economics and Finance. 19:23-39
ISSN:	1062-9408
DOI:	10.1016/j.najef.2007.07.005
Popis:	The European overnight rate (Eonia) is the operational target of the European Central Bank (ECB) that signals the monetary policy stance and anchors the term structure of interest rates. This paper empirically investigates the transmission of Eonia volatility to longer-term money market rates. Distinguishing between seasonal Eonia volatility due to e.g. calendar efiects and non-seasonal volatility which may be closer related to uncertainty about the policy intentions of the ECB reveals a signiflcant volatility transmission even for the twelve-month rate. We also examine how the ECB’s new operational framework introduced in March 2004 has in∞uenced the Eonia and the transmission of volatility along the yield curve.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::66011eb9a9c34f4f1c0d24e60bae8a4a https://doi.org/10.1016/j.najef.2007.07.005 Zobrazit plný text záznamu Full Text from ScienceDirect