Euro money market spreads during the 2007–? financial crisis
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- Cassola, Nuno & Morana, Claudio, 2012. "Euro money market spreads during the 2007-? financial crisis," Working Paper Series 1437, European Central Bank.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Claudio Morana, 2014. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers 273, University of Milano-Bicocca, Department of Economics, revised May 2014.
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321, University of Milano-Bicocca, Department of Economics, revised 28 Dec 2015.
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- Vašíček, Bořek & Calice, Giovanni & Miao, RongHui & Štěrba, Filip, 2014. "Short-term determinants of the idiosyncratic sovereign risk premium: a regime-dependent analysis for european credit default swaps," Working Paper Series 1717, European Central Bank.
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More about this item
KeywordsMoney market interest rates; Credit/liquidity risk; Fractionally integrated heteroskedastic factor vector autoregressive model;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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