The Eurosystem's Operational Framework in the Context of the ECB's Monetary Policy Strategy

Manna, Michele; Pill, Huw; Quirós, Gabriel Pérez

doi:10.1111/1468-2362.00066

Cited by 20 publications

(12 citation statements)

References 15 publications

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“…The volatility explains interest rate fluctuations, which are explained by the asymmetry of market information. According to Manna et al . (2001), interest rate fluctuations are an important indicator to the monetary policy during the transmission process.…”

Section: Introductionmentioning

confidence: 99%

South African Market Volatility, Asymmetry and Retail Interest Rates Pass‐through

Fadiran

Ezeoha

2012

South African J Economics

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The purpose of this paper is to examine the interest rate transmission mechanism for South Africa as an emerging economy in a pre‐repo and repo system. It explains how the money market rate is transmitted to the retail interest rates both in the long run and short run, and tests the symmetric and asymmetric interest rate pass‐through using the error‐correction model (ECM) and the adjusted ECM‐exponential generalised autoregressive conditional heteroscedasticity (ECM‐EGARCH) (1,1)‐M methodology. This permitted the examination of the impact of interest rate volatility, along with the leverage effect. An incomplete pass‐through is found in the short run. From the entire sample period, a symmetric adjustment is found in the deposit rate, which had upward rigidity adjustment, while an asymmetric adjustment is found in the lending rate, with a downward rigidity adjustment. All the adjustments supported the collusive pricing arrangements. According to the conditional variance estimation of the ECM‐EGARCH (1,1), negative volatility impact and leverage effect are present and influential only in the symmetric deposit interest rate adjustment process in South Africa.

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Section: Introductionmentioning

confidence: 99%

South African Market Volatility, Asymmetry and Retail Interest Rates Pass‐through

Fadiran

Ezeoha

2012

South African J Economics

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“…Thus, for example, it has been analysed the implications of the institutional details of the reserve market on the behavior of the EONIA and how this rate is affected by the liquidity management of the European Central Bank (ECB). In this regard, Hartmann et al (2001) and Manna et al (2001) concentrate on analysing the operational framework of ECB, while either Bindseil and Seitz (2001) or Angeloni and Bisagni (2002) concentrate more on the consequences of the liquidity conditions. Prati et al (2002) carried out a study on how the operational procedures and intervention forms of the central banks affect the characteristics and behavior of the one-day rate in the most industrialised countries (Eurozone and G7).…”

Section: Introductionmentioning

confidence: 99%

Modeling the Euro overnight rate

Benito

León

Nave

2007

Journal of Empirical Finance

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This paper describes the evolution of the daily Euro overnight interest rate (EONIA) by using several models containing the jump component such as a single regime ARCH-Poisson-Gaussian process, with either a piecewise function or an autoregressive conditional specification (ARJI) for the jump intensity, and a two regime-switching process with jumps and time varying transition probabilities. To model the jump intensity, we include the following effects which are significant for the occurrence of jumps such as: (1) the end of maintenance period effect because of reserve requirements, (2) the end of month effect, also known as the calendar day effect, caused mainly by the accounting adjustments and finally, (3) the meeting effect caused by the fortnightly meetings of the Governing Council of the European Central Bank (ECB). These effects lead to a better performance and several of them are also included for the behavior of the transition probabilities. Since the target of the ECB is keeping the EONIA rate close to the official rate, we have modeled the conditional mean of the overnight rate series as a reversion process to the official rate distinguishing two alternative speeds of reversion, in concrete, a different speed if EONIA is higher or lower than the official rate. We also study the jumps of the EONIA rate around the ECB's meetings by using the ex-post probabilities of the ARJI model. Finally, we develop an out-of-sample forecasting analysis to measure the performance of the different candidate models.JEL classification: C13, C22, E43, E52.

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“…As a result of this, the national currency will lose (gain) value, the exchange rates will increase (decrease) and affect the inflation (CBRT, 2013). Manna et al (2001) suggest that the fluctuations in the interest rates emergent in this transmission process are important indicators of the success of monetary policy.…”

Section: The Effects Of Monetary Policy Announcements On Economymentioning

confidence: 99%

The Effect of Monetary Policy on Interest Rates in Turkey: A Microstructural Analysis

Afşar

Doğan

2017

BER

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The purpose of this study it to investigate the impact of monetary policy announcements by Central Bank of the Turkish Republic (CBRT) on market interest rates via micro variables on interest rates. In this context, this study investigated the relationship between monetary policy announcements and market interest rates for 2011:01-2015:10 term using GARCH model. The estimates have indicated that monetary policy announcements have different impacts on interest rate volatilities when distinguished as decisions on increasing, decreasing or fixing interest rates. It was found that contractionary monetary policy announcements have different impacts on market interest rates volatilities analyzed in the present study, while expansionary monetary policy announcements decrease the volatility on market interest rates. On the other hand, the announcements towards fixing the monetary policy increases the interest rate ISSN 2162-4860 2017 http://ber.macrothink.org 300 volatility of market interest rates. The results of the analysis also indicated that deposit interest rate weighted up to one year are affected the least by the monetary policy changes. Business and Economic Research

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The Eurosystem's Operational Framework in the Context of the ECB's Monetary Policy Strategy

Cited by 20 publications

References 15 publications

South African Market Volatility, Asymmetry and Retail Interest Rates Pass‐through

South African Market Volatility, Asymmetry and Retail Interest Rates Pass‐through

Modeling the Euro overnight rate

The Effect of Monetary Policy on Interest Rates in Turkey: A Microstructural Analysis

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