Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework
研究了2004年初欧元系统操作框架和流动性管理改革对Eonia利率与最低投标利率之间利差的影响，发现改革显著降低了利率波动性。
Abstract At the beginning of 2004, the Eurosystem implemented several modifications of its operational framework and liquidity management aiming at enhancing market efficiency. The purpose of this article is to study the effects of theses changes in the spread between the Eonia and the minimum bid rate. Our results reflect that both the operational changes as well as the new liquidity management are responsible for a significant decrease in the interest rate volatility. Copyright © 2009 John Wiley & Sons, Ltd.