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Euro money market interest rates dynamics and volatility

Author

Listed:
  • Caroline Jardet

    (Centre de recherche de la Banque de France - Banque de France)

  • Gaëlle Le Fol

    (DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

Abstract

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 these 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.

Suggested Citation

  • Caroline Jardet & Gaëlle Le Fol, 2010. "Euro money market interest rates dynamics and volatility," Post-Print halshs-00876971, HAL.
    • Handle: RePEc:hal:journl:halshs-00876971
    as

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