A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2015; you can also visit the original URL.
The file type is
We quantify the effect of refinancing risk on euro area money market spreads, a major factor driving spreads during the financing crisis. With the advent of the crisis, market participants' perception of their ability to refinance over a given period of time changed radically. As a result, borrowers preferred to obtain funding for longer tenors and lenders were willing to provide funding for shorter tenors. This discrepancy resulted in a need to refinance more frequently in order to borrow ovedoi:10.2139/ssrn.2513404 fatcat:7il3aoit7na2dnzjg5vjjrqiqi