The 2007-? financial crisis: a money market perspective
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Keywordsmoney market interest rates; euro area; sub-prime credit crisis; credit risk; liquidity risk; long memory; structural change; 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
- E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-CBA-2011-02-26 (Central Banking)
- NEP-EEC-2011-02-26 (European Economics)
- NEP-MON-2011-02-26 (Monetary Economics)
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