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Money-Market Segmentation in the Euro Area: What has Changed During the Turmoil?

Paolo Zagaglia

No 2009:11, Research Papers in Economics from Stockholm University, Department of Economics

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 (search for similar items in EconPapers)
JEL-codes: C22 E58 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2009-04-23
New Economics Papers: this item is included in nep-cba, nep-eec, nep-fmk, nep-mon and nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:sunrpe:2009_0011

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