Emir data can give valuable insights on rate expectations – ECB paper
New methodology uses data on OTC transactions to track market expectations of interest rates
Data gathered on over-the-counter derivatives transactions can help central banks to make good macroeconomic judgements, a paper in the European Central Bank’s latest economic bulletin argues.
The paper, by Lena Boneva et al., notes that since February 2014, eurozone financial firms have had to report on their transactions involving all individual derivatives contracts under the European Market Infrastructure Regulation. The ECB has worked with the European Systemic Risk Board to create an
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