Euro money market interest rates dynamics and volatility: How they respond to recent changes in the operational framework.

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.European money market ; Eonia ; Operational framework ; Liquidity effect.