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

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  • Paolo Zagaglia

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.

Suggested Citation

  • Paolo Zagaglia, 2010. "Did the turmoil affect money-market segmentation in the Euro area?," Applied Economics Letters, Taylor & Francis Journals, vol. 17(18), pages 1783-1788.
    • Handle: RePEc:taf:apeclt:v:17:y:2010:i:18:p:1783-1788
    DOI: 10.1080/13504850903357384
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    References listed on IDEAS

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    1. Alain Durré & Stefano Nardelli, 2008. "Volatility in the Euro area money market: effects from the monetary policy operational framework," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(4), pages 307-322.
    2. Idier, Julien & Nardelli, Stefano, 2008. "Probability of informed trading on the euro overnight market rate: an update," Working Paper Series 987, European Central Bank.
    3. Bandi, Federico M. & Russell, Jeffrey R., 2006. "Separating microstructure noise from volatility," Journal of Financial Economics, Elsevier, vol. 79(3), pages 655-692, March.
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