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Antonio Matas Mir

20 June 2022
Economic Bulletin Issue 4, 2022
The €STR, launched in October 2019, is the official euro-denominated risk-free benchmark interest rate. It fully replaced EONIA from January 2022, after a transition period of more than two years. The article explains what benchmark rates are, why they are important for financial markets and why the ECB needs robust and reliable benchmark rates from a monetary policy perspective. It provides an overview of the close cooperation with market participants, the creation and main features of the €STR, how it is calculated on the basis of MMSR data, the robustness of its production and overall framework and the transparency policy on errors.
JEL Code
E49 : Macroeconomics and Monetary Economics→Money and Interest Rates→Other
14 May 2004
To date, there has been little investigation of the impact of seasonal adjustment on the detection of business cycle expansion and recession regimes. We study this question both analytically and through Monte Carlo simulations. Analytically, we view the occurrence of a single business cycle regime as a structural break that is later reversed, showing that the effect of the linear symmetric X-11 filter differs with the duration of the regime. Through the use of Markov switching models for regime identification, the simulation analysis shows that seasonal adjustment has desirable properties in clarifying the true regime when this is well underway, but it distorts regime inference around turning points, with this being especially marked after the end of recessions and when the one-sided X-11 filter is employed.
JEL Code
E32 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Business Fluctuations, Cycles
C22 : Mathematical and Quantitative Methods→Single Equation Models, Single Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models &bull Diffusion Processes
C80 : Mathematical and Quantitative Methods→Data Collection and Data Estimation Methodology, Computer Programs→General