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Money-Market Segmentation in the Euro Area: What has Changed During the Turmoil?

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  • Zagaglia, Paolo

    ()
    (Dept. of Economics, Stockholm University)

Abstract

I study how the pattern of segmentation in the Euro area money market has been affected by the recent turmoil in financial markets. I use nonparametric estimates of realized volatility to test for volatility spillovers between rates at different maturities. For the pre-turmoil period, exogeneity tests from VAR models suggest the presence of a transmission channel from longer maturities to the overnight. This disappears in the subsample starting in August 9 2007. Quantile measures of comovements in volatility report evidence of an increase in contagion within the longer end of the money market curve.

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Bibliographic Info

Paper provided by Stockholm University, Department of Economics in its series Research Papers in Economics with number 2009:11.

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Length: 25 pages
Date of creation: 23 Apr 2009
Date of revision:
Handle: RePEc:hhs:sunrpe:2009_0011

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Postal: Department of Economics, Stockholm, S-106 91 Stockholm, Sweden
Phone: +46 8 16 20 00
Fax: +46 8 16 14 25
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Web page: http://www.ne.su.se/
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Keywords: Money market; high-frequency data; time-series methods;

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