RT Journal Article
T1 The Role of Eonia in the Dynamics of Short-Term Interbank Rates
A1 Vides González, José Carlos
A1 Golpe Moya, Antonio Aníbal
A1 Iglesias Garrido, Jesús
AB To signal monetary policies and market expectations, we apply afractionally cointegrated vector autoregressive (FCVAR) model, aiming to analysethe expectations hypothesis of term structure (EHTS), persistence in theEuro OverNight Index Average (Eonia) spread and permanent-transitory decompositionusing a novel approach. We use a monthly frequency sample for the 3-month Euribor rate and Eonia rate, covering the period from January 1999 toFebruary 2019. The results obtained confirm the EHTS and show evidence of ahigh persistence of the spread, which means that shocks may impede effectivenessin monetary policy and that the European Central Bank (ECB) loses controlover interest rates. Additionally, according to permanent-transitory decomposition,we determine that the Eonia rate has a permanent component and thusdominates the common trend in the cointegration system. In sum, if the ECBwants to keep the interbank market interest rates under control, it must contemplatethe evolution of the Eonia rate.
PB Economists' Association of Vojvodina
SN 1452-595X
YR 2020
FD 2020-04
LK http://hdl.handle.net/10272/18159
UL http://hdl.handle.net/10272/18159
LA eng
NO Vides  González, J., C., Golpe  Moya, A., A.,  Iglesias Garrido, J. (2020). The role of Eonia in the dynamics of short-term interbank rates. Panoeconomicus, 67(2), 225–240. DOI: https://doi.org/10.2298/pan171004018c
DS Repositorio Institucional de la Universidad de Huelva
RD 31 may 2026