Zagaglia, Paolo; Marzo, Massimilano - In: Journal of finance and investment analysis 2 (2013) 1, pp. 85-100
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...
