Baglioni, Angelo; Monticini, Andrea - Dipartimenti e Istituti di Scienze Economiche, … - 2008
By analyzing high frequency data for the European interbank market, we show that the intraday interest rate (implicitly defined by the term structure of the ON rate) jumped by more than ten times at the outset of the financial turmoil in August 2007, resulting in an inefficiency of the money...