Determinants of the Rate of the Dutch Unsecured Overnight Money Market

27 Pages Posted: 23 Mar 2013

See all articles by Ronald Heijmans

Ronald Heijmans

De Nederlandsche Bank

Lola Hernández

De Nederlandsche Bank

Richard Heuver

De Nederlandsche Bank

Date Written: March 21, 2013

Abstract

This paper investigates how changes in the monetary policy framework have affected the overnight money market lending rate for the Dutch segment of the euro area during tranquil and crisis times. We present an EGARCH model on the volatility of the overnight lending rate. The results show that modifications of the monetary policy framework in 2004 decreased the volatility of the rate. Since the turmoil of the crisis started the volatility increased again. Our method makes it possible for central banks to monitor the volatility of the rate and the impact of changes in the policy for the whole euro area.

Keywords: financial stability, unsecured interbank money market, EONIA, monetary policy

JEL Classification: E42, E43, E44, E52, G20

Suggested Citation

Heijmans, Ronald and Hernández, Lola and Heuver, Richard, Determinants of the Rate of the Dutch Unsecured Overnight Money Market (March 21, 2013). De Nederlandsche Bank Working Paper No. 374, Available at SSRN: https://ssrn.com/abstract=2237144 or http://dx.doi.org/10.2139/ssrn.2237144

Ronald Heijmans (Contact Author)

De Nederlandsche Bank ( email )

PO Box 98
1000 AB Amsterdam
Amsterdam, 1000 AB
Netherlands

Lola Hernández

De Nederlandsche Bank ( email )

PO Box 98
1000 AB Amsterdam
Amsterdam, 1000 AB
Netherlands

Richard Heuver

De Nederlandsche Bank ( email )

PO Box 98
1000 AB Amsterdam
Amsterdam, 1000 AB
Netherlands

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