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Fragmentation in the Euro overnight unsecured money market

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  • Garcia-de-Andoain, Carlos
  • Hoffmann, Peter
  • Manganelli, Simone

Abstract

This paper examines the degree of fragmentation in the Euro overnight unsecured money market during the period June 2008–August 2013 using interbank loans constructed from payments data. After controlling for cross-country differences in bank risk, we document several episodes of significant market fragmentation. While non-standard measures such as the provision of long-term liquidity were successful in reducing tensions, considerable signs of market fragmentation remained at the end of the sample period.

Suggested Citation

  • Garcia-de-Andoain, Carlos & Hoffmann, Peter & Manganelli, Simone, 2014. "Fragmentation in the Euro overnight unsecured money market," Economics Letters, Elsevier, vol. 125(2), pages 298-302.
    • Handle: RePEc:eee:ecolet:v:125:y:2014:i:2:p:298-302
    DOI: 10.1016/j.econlet.2014.09.017
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    References listed on IDEAS

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    1. Heider, Florian & Garcia-de-Andoain, Carlos & Frutos de Andres, Juan Carlos & Papsdorf, Patrick, 2016. "Stressed interbank markets: evidence from the European financial and sovereign debt crisis," Working Paper Series 1925, European Central Bank.
    2. Olivier Armantier & Adam Copeland, 2012. "Assessing the quality of “Furfine-based” algorithms," Staff Reports 575, Federal Reserve Bank of New York.
    3. Paolo Angelini & Andrea Nobili & Cristina Picillo, 2011. "The Interbank Market after August 2007: What Has Changed, and Why?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(5), pages 923-958, August.
    4. Beaver, William H. & Shakespeare, Catherine & Soliman, Mark T., 2006. "Differential properties in the ratings of certified versus non-certified bond-rating agencies," Journal of Accounting and Economics, Elsevier, vol. 42(3), pages 303-334, December.
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    More about this item

    Keywords

    Money markets; Financial integration; Sovereign debt crisis; Monetary policy implementation;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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