Is the volatility of the EONIA transmited to longer-term euro money market interest rates?

• Autores: Francisco Alonso, Roberto Blanco Escolar
• Localización: Documentos de trabajo - Banco de España, ISSN 0213-2710, Nº 41, 2005, págs. 9-38
• Idioma: inglés
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• Resumen

  • This paper analyses the volatility of euro money market interest rates and tests for the existence of volatility transmission from overnight rates to longer term rates. The results suggest that a significant proportion of the volatility of the EONIA is transmitted to 1 month and 3 month interest rates during most days. However, the abnormally high volatility during the last two days of the maintenance period does not seem to be transmitted to longer term rates.