Determinants of the Rate of the Dutch Unsecured Overnight Money Market
27 Pages Posted: 23 Mar 2013
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: Suggested Citation
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