CRIS Current Research Information System
IRIS è la soluzione IT che facilita la raccolta e la gestione dei dati relativi alle attività e ai prodotti della ricerca. Fornisce a ricercatori, amministratori e valutatori gli strumenti per monitorare i risultati della ricerca, aumentarne la visibilità e allocare in modo efficace le risorse disponibili.
EnglishWe investigate the money-market impact of the reform of the operational framework of the European Central Bank that took place in March 2004. We estimate a structural bivariate GARCH model with the overnight rate and 1-year swap rate, where identifying restrictions are imposed on the conditional variances. Differently from previous studies, we use a measure of structural correlation to study the linkages between the short end and the longer end of the term structure of money market swaps. Our results indicate that the 1-year swap segment has decoupled from the overnight rate as the two rates do not co-vary any longer.
| Titolo: | The Impact of the 2004 Reform of the Operational Framework of the ECB:Structural GARCH Evidence | |
| Autore/i: | MARZO, MASSIMILIANO; ZAGAGLIA, PAOLO | |
| Autore/i Unibo: | ||
| Anno: | 2013 | |
| Rivista: | ||
| Abstract: | We investigate the money-market impact of the reform of the operational framework of the European Central Bank that took place in March 2004. We estimate a structural bivariate GARCH model with the overnight rate and 1-year swap rate, where identifying restrictions are imposed on the conditional variances. Differently from previous studies, we use a measure of structural correlation to study the linkages between the short end and the longer end of the term structure of money market swaps. Our results indicate that the 1-year swap segment has decoupled from the overnight rate as the two rates do not co-vary any longer. | |
| Data stato definitivo: | 2015-11-03T17:39:55Z | |
| Appare nelle tipologie: | 1.01 Articolo in rivista |
File in questo prodotto:
Copyright © 2022