抄録
Recent works mostly supports interest rate channel, as the transmission mechanism of monetary policy in the euro area as a whole. In order to work it effectively in the region, Eurosystem ought to have the controllability of the yield curve. The purpose of this paper is to investigate how the Eurosystem affect interest rates based on the expectation hypothesis.
We estimate money market yield curve that is composed of EURIBOR (euro inter-bank offered rate), because of simplicity. From two-period model estimation, we found it is difficult to accept the expectation hypothesis. This result is similar to empirical studies that other researches had done in the United States. These studies became more preferable result by taking account of financial institution's expectation against future change of official interest rate.
Then, we re-examined the expectation hypothesis by using EONIA (euro over-night index average) instead of one or two period of EURIBOR, because it is sensitive to the information released by Eurosystem and it contains expectation against future change of MRO rate (Eurosystem's official interest rate).
We estimate EONIA-model in the same method as two-period model, we obtained the result closer to the theoretical value compared with other studies that used the Federal Funds rate in the United States, though the expectation hypothesis was not strictly supported. As a result, we come to the conclusion that Eurosystem's information is important factor for the term structure of interest rates of euro.
Next, we set Eurosystem's statement as a variable, and estimate how this variable affect euro yield curve by using vector error correction model. In this estimation, we adopted the idea of “open mouth operations” which have been adopted by studies between other central banks and money market too. The results indicated Eurosystem's statements have influenced all maturity of EURIBOR to the direction that we have predicted, and also, long-term EURIBOR react more sensitive by statement than short-term EURIBOR. This is consistent with theory of expectation hypothesis that as maturity of interest rate is longer, expectation affects the interest rate greater.
On the contrary, we found MRO rate has a reverse impact on EURIBOR to our prospect. The reason is that EURIBOR fluctuated earlier than MRO rate, because financial institutions change the forecast of the future interest rate as soon as statement was released, and that they did not change it any longer when MRO rate was changed.
From these results, we could obtain two conclusions. First, Eurosystem do not affect EURIBOR directly through MRO rate policy, but through statement policy. Second, it is implication, for researchers, we should have take statement into account, when we study whether the central bank succeed in controlling yield curve or not.
