The 2007-? financial crisis: a money market perspective

Nuno Cassola () and Claudio Morana
Additional contact information
Nuno Cassola: ECB

No 102, CeRP Working Papers from Center for Research on Pensions and Welfare Policies, Turin (Italy)

Abstract: The evolution of the spreads between unsecured money market rates of various maturities and central banks’ key policy rates has been subject to considerable debate and controversy in relation to the worldwide financial market turbulence that started in August 2007. Our contribution to the ongoing debate on the dynamics of money market spreads is empirical and methodological, motivated by the “shocking” evidence of non-stationary behaviour of money market spreads. In fact, in our view, empirical work assessing the effectiveness of central bank policies has largely overlooked the complexity of the market environment and its implications for the statistical properties of the data. Thus, our main goal is to carefully document both the economic and statistical “fingerprint” of money market turbulence, in the framework of a new econometric framework, carefully accounting for the persistence properties of the data.

Keywords: money market interest rates; euro area; sub-prime credit crisis; credit risk; liquidity risk; long memory; structural change; fractionally integrated heteroskedastic factor vector autoregressive model (search for similar items in EconPapers)
JEL-codes: C32 E43 E50 E58 G15 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2010-11
New Economics Papers: this item is included in nep-cba, nep-eec and nep-mon
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.cerp.carloalberto.org/wp-content/uploads/2010/11/wp_102.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:crp:wpaper:102

Access Statistics for this paper

More papers in CeRP Working Papers from Center for Research on Pensions and Welfare Policies, Turin (Italy) Contact information at EDIRC.
Bibliographic data for series maintained by Silvia Maero ().