Did the turmoil affect money-market segmentation in the Euro area?

Paolo Zagaglia

Applied Economics Letters, 2010, vol. 17, issue 18, 1783-1788

Abstract: Yes. For the preturmoil period, exogeneity tests from vector autoregression (VAR) models suggest the presence of a transmission channel from longer maturities to the overnight. This disappears in the subsample starting in 9 August, 2007. The results of the semiparametric tests of Cappiello et al. (2005a) report evidence of an increase in volatility contagion within the longer end of the money-market curve, which takes place in the lower tail of the empirical distributions.

Date: 2010
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DOI: 10.1080/13504850903357384

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