Autore
Morana, Claudio

Titolo
The 2007-? financial crisis: a money market perspective
Periodico
Università degli Studi del Piemonte Orientale 'A. Avogadro' : Facoltà di Economia - Dipartimento di Scienze Economiche e Metodi Quantitativi "SEMEQ" - Quaderni
Anno: 2010 - Fascicolo: 6 - Pagina iniziale: 1 - Pagina finale: 39

The evolution of the spreads between unsecured money market rates of various maturities and central banks’ key policy rates has been subject to considerable debate and controversy in relation to the worldwide financial market turbulence that started in August 2007. Our contribution to the ongoing debate on the dynamics of money market spreads is empirical and methodological, motivated by the “shocking” evidence of non-stationary behaviour of money market spreads. In fact, in our view, empirical work assessing the effectiveness of central bank policies has largely overlooked the complexity of the market environment and its implications for the statistical properties of the data. Thus, our main goal is to carefully document both the economic and statistical “fingerprint” of money market turbulence, in the framework of a new econometric framework, carefully accounting for the persistence properties of the data. Key words: money market interest rates, euro area, sub-prime credit crisis, credit risk, liquidity risk, long memory, structural change, fractionally integrated heteroskedastic factor vector autoregressive model.



Testo completo: http://semeq.unipmn.it/files/WP201006.pdf

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