Resumen de Testing the expectations hypothesis in euro overnight interest swap rates
This paper studies how interest rates expectations are formed in the Euro monetary market. Several implications of the Expectations Hypothesis on interest rates are examined both in interbank deposit rates, as well as in Eonia swap rates. Results show that Eonia swap rates better fulfil the Expectations Hypothesis implications and have lower risk premiums than Euribor rates. These results reflect the use by the European Central Bank of Eonia swap rates to measure the market response of its monetary policy actions and its influence on the expectations on future short-term interest rates. The period of financial volatility that started in August 2007 reinforces the ECB�s use of Eonia swap rates as a reference for the market expectation formation on future interest rates;
however, this superiority already existed before this episode (although it was not so evident).
