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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.
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