2009-05-09 papers

on Market Microstructure

Issue of 2009‒05‒09
one paper chosen by
Thanos Verousis

Money-Market Segmentation in the Euro Area: What has Changed During the Turmoil? By Zagaglia, Paolo

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

By:	Zagaglia, Paolo (Dept. of Economics, Stockholm University)
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
JEL:	C22 E58
Date:	2009–04–23
URL:	http://d.repec.org/n?u=RePEc:hhs:sunrpe:2009_0011&r=mst

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