A further look at the 2004 reform of the operational framework of the ECB

Marzo, Massimiliano ; Zagaglia, Paolo (2009) A further look at the 2004 reform of the operational framework of the ECB. Bologna: Dipartimento di Scienze economiche DSE, p. 14. DOI 10.6092/unibo/amsacta/4587. In: Quaderni - Working Paper DSE (659). ISSN 2282-6483.
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Abstract

This note reconsiders the impact of the reform of the operational framework of the European Central Bank that took place in March 2004. We estimate a bivariate GARCH model with the overnight rate and 1-year swap rate, where identifying restrictions are imposed on the conditional variance. Differently from previous studies, we use a measure of structural correlation to show that the 1-year swap segment has decoupled from the overnight rate as the two rates do not co-vary any longer.

Abstract
Document type
Monograph (Working Paper)
Creators
CreatorsAffiliationORCID
Marzo, Massimiliano
Zagaglia, Paolo
Keywords
money market, multivariate GARCH, structural identification
Subjects
ISSN
2282-6483
DOI
Deposit date
15 Feb 2016 13:02
Last modified
15 Feb 2016 13:02
URI

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