Arciero, Luca; Heijmans, Ronald; Heuver, Richard; … - Banca d'Italia - 2014
This paper develops a methodology, based on Furfine (1999), for identifying unsecured interbank money market loans from … (overnight) up to three months. The implementation has been verified with (i) interbank money market transactions executed on the … crisis and of the sovereign debt crises are clearly revealed in the interbank money market by significant drops in turnover …