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

Paolo Zagaglia
2008 Social Science Research Network  
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
more » ... ures of comovements in volatility report evidence of an increase in contagion within the longer end of the money market curve.
doi:10.2139/ssrn.1299621 fatcat:ty3nalsiqfbkvmf7f7vq47xble