Money-Market Segmentation in the Euro Area: What has Changed During the Turmoil?
AbstractI 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 InfoPaper provided by Stockholm University, Department of Economics in its series Research Papers in Economics with number 2009:11.
Length: 25 pages
Date of creation: 23 Apr 2009
Date of revision:
Contact details of provider:
Postal: Department of Economics, Stockholm, S-106 91 Stockholm, Sweden
Phone: +46 8 16 20 00
Fax: +46 8 16 14 25
Web page: http://www.ne.su.se/
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Money market; high-frequency data; time-series methods;
Other versions of this item:
- Zagaglia, Paolo, 2008. "Money-market segmentation in the Euro area: what has changed during the turmoil?," Research Discussion Papers 23/2008, Bank of Finland.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-05-09 (All new papers)
- NEP-CBA-2009-05-09 (Central Banking)
- NEP-EEC-2009-05-09 (European Economics)
- NEP-FMK-2009-05-09 (Financial Markets)
- NEP-MON-2009-05-09 (Monetary Economics)
- NEP-MST-2009-05-09 (Market Microstructure)
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