The role of Eonia in the dynamics of short-term interbank rates
| Autor: | Jesús Iglesias Garrido, José Carlos Vides, Antonio A. Golpe |
|---|---|
| Přispěvatelé: | Universidad de Sevilla. Departamento de Economía Financiera y Dirección de Operaciones |
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
Index (economics)
Persistence of interest rates media_common.quotation_subject Monetary economics permanent-transitory decomposition Long memory and fractional cointegration Economics Euribor media_common Long memory eonia rate Cointegration Fractional cointegration Monetary policy lcsh:Economic theory. Demography persistence of interest rates Eonia rate Euribor rate Term (time) Interest rate long memory and fractional cointegration euribor rate lcsh:HB1-3840 Eonia Permanent-transitory decomposition Interbank lending market General Economics Econometrics and Finance |
| Zdroj: | Panoeconomicus, Vol 67, Iss 2, Pp 225-240 (2020) Arias Montano. Repositorio Institucional de la Universidad de Huelva instname idUS. Depósito de Investigación de la Universidad de Sevilla idUS: Depósito de Investigación de la Universidad de Sevilla Universidad de Sevilla (US) |
| ISSN: | 2217-2386 |
| Popis: | To signal monetary policies and market expectations, we apply a fractionally cointegrated vector autoregressive (FCVAR) model, aiming to analyse the expectations hypothesis of term structure (EHTS), persistence in the European OverNight Index Average (Eonia) spread and permanent-transitory decomposition 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 effectiveness in monetary policy and that the European Central Bank (ECB) loses control over interest rates. Additionally, according to permanent-transitory decomposition, 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 contemplate the evolution of the Eonia rate. Key words: Eonia rate, Long memory and fractional cointegration, Euribor rate, Persistence of interest rates, Permanent-transitory decomposition. JEL: C22, E52, G15 Uloga Eonia stope u dinamici kratkorocnih međubankarskih stops Kako bismo signalizirali monetarnu politiku i tržisna ocekivanja, primenjujemo frakciono kointegrisani vektorski autoregresivni model (FCVAR), u cilju analiziranja hipoteze o ocekivanjima u pogledu rocne strukture (EHTS), perzistentnosti spread-a Evro prekonocnog prosecnog indeksa (Eonia) i permanentno-tranzitornoj dekompoziciji primenom novog pristupa. Koristimo uzorak mesecne frekvencije za tromesecnu Euribor i Eonia stopu, pokrivajuci period od januara 1999. do februara 2019. godine. Dobijeni rezultati potvrđuju EHTS i upucuju na visoku perzistentnost spread-a, sto znaci da sokovi mogu ograniciti efikasnost monetarne politike i da Evropska centralna banka (ECB) gubi kontrolu nad kamatnim stopama. Pored toga, prema permanentno-tranzitornoj dekompoziciji, utvrđujemo da Eonia stopa ima permanentnu komponentu i na taj nacin dominira u zajednickom trendu kointegracionog sistema. Ukratko, ako ECB želi da drži kamatne stope međubankarskog tržista pod kontrolom, mora da razmotri razvoj Eonija stope. Kljucne reci: Eonia stopa, dugorocna memorija i frakciona kointegracija, Euribor stopa, perzistentnost kamatnih stopa, permanentno-tranzitorna dekompozicija. |
| Databáze: | OpenAIRE |
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