To understand the impact of the 2007–9 financial crisis, we model the Euro overnight interest rate average (EONIA) spread against the main reference rate as an exponential general autoregressive conditional heteroskedastic (EGARCH) model. Before the fixed rate full allotment policy of the European Central Bank (ECB) (period 2004–8), we follow a two regime approach, however afterwards (2008–9), a conventional EGARCH seems more adequate. The results suggest a greater difficulty during the turmoil for the ECB to steer the EONIA spread. The liquidity policy and in particular the provision of long‐term liquidity was effective in reducing market volatility.