Dutch paper analyses changes in unsecured overnight money market
A working paper, published by The Netherlands Bank today, finds that changes to the ECB's monetary policy framework in 2004 decreased the volatility of the interbank overnight lending rate of the euro area unsecured money market for the Dutch segment of Target II.
The paper - Determinants of the rate of the Dutch unsecured overnight money market, by Ronald Heijmans, Lola Hernandez and Richard Heuver - use an exponential general autoregressive conditional heteroskedastic model (e-garch) model to
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