Research Papers in Economics, Department of Economics, Stockholm University
Money-Market Segmentation in the Euro Area: What has Changed During the Turmoil?
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.
Keywords: Money market; high-frequency data; time-series methods; (follow links to similar papers)
JEL-Codes: C22; E58; (follow links to similar papers)
25 pages, April 23, 2009
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