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Department of Economics, Stockholm University Research Papers in Economics, Department of Economics, Stockholm University

No 2009:11:
Money-Market Segmentation in the Euro Area: What has Changed During the Turmoil?

Paolo Zagaglia ()

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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