Resource title

The dynamic relationship between the Euro overnight rate, the ECB´s policy rate and the term spread

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Resource 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.

Resource author

Christian J. Offermanns, Dieter Nautz

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/19629

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Adapt according to the presented license agreement and reference the original author.