On the persistence of the Eonia spread

The European overnight rate (Eonia) signals the monetary policy stance of the European Central Bank. Controllability of the Eonia requires that the persistence of the spread between the Eonia and the key policy rate remains sufficiently low. We apply fractional integration techniques to examine its (changing) persistence.

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Year of publication:	2008
Authors:	Hassler, Uwe ; Nautz, Dieter
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 101.2008, 3, p. 184-187
Publisher:	Elsevier
Keywords:	Long memory and fractional integration Controllability and persistence of interest rates New operational framework of the ECB

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005287991