Risk of liquidity and contagion of the crisis on the US, UK and Euro Zone money markets

Bertrand Blancheton (), Christian Bordes (), Samuel Maveyraud and Philippe Rous ()
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Bertrand Blancheton: GREThA - Groupe de Recherche en Economie Théorique et Appliquée - UB - Université de Bordeaux - CNRS - Centre National de la Recherche Scientifique
Christian Bordes: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Philippe Rous: LAPE - Laboratoire d'Analyse et de Prospective Economique - GIO - Gouvernance des Institutions et des Organisations - UNILIM - Université de Limoges

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: The financial crisis has produced a generalized rise of the liquidity risk on the money markets. The purpose of this article is to highlight the mechanisms of contagion between the money markets of the United States, the United Kingdom and the Euro Zone. To give an account of these mechanisms, a BEKK model, in which we introduce a structural break, is adopted. Thus, this model explicitly tests the spillover effects of the liquidity risk premium on money markets. The results show that before the financial crisis (i.e. the reference period), the spillover effects are observed on money markets, as a result of the interconnectedness of these markets, whereas over the crisis period, the liquidity problems go from the United Kingdom to the American money market and then to the euro area. .

Keywords: iquidity; money markets; financial crisis; contagion; BEKK model (search for similar items in EconPapers)
Date: 2012
Note: View the original document on HAL open archive server: https://hal.science/hal-01098954
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Citations: View citations in EconPapers (5)

Published in International Journal of Finance and Economics, 2012, 17 (2), pp.124-146. ⟨10.1002/ijfe.445⟩

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Working Paper: Risk of liquidity and contagion of the crisis on the US, UK and Euro Zone money markets (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:hal-01098954

DOI: 10.1002/ijfe.445

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