374 - Determinants of the rate of the Dutch unsecured overnight money market

DNB Working Papers
Publicatiedatum 21 maart 2013
This paper investigates how changes in the monetary policy framework have affected the overnight money market lending rate for the Dutch segment of the euro area during tranquil and crisis times. We present an EGARCH model on the volatility of the overnight lending rate. The results show that modifications of the monetary policy framework in 2004 decreased the volatility of the rate. Since the turmoil of the crisis started the volatility increased again. Our method makes it possible for central banks to monitor the volatility of the rate and the impact of changes in the policy for the whole euro area.
Key words: financial stability, unsecured interbank money market, EONIA, monetary policy.
JEL Codes: E42, E43 E44, E52, G20.