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The 2007 Subprime Market Crisis Through the Lens of European Central Bank Auctions for Short-Term Funds
Cassola, Nuno - 2011
bidding data from the European Central Bank's auctions for one-week loans, their main channel of monetary policy …-based measures of bank performance, suggesting the external validity of our findings …
Persistent link: https://www.econbiz.de/10013121386
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Euro Money Market Spreads During the 2007-? Financial Crisis
Cassola, Nuno - 2012
In the paper we investigate the empirical features of euro area money market turbulence during the recent financial crisis. By means of a novel Fractionally Integrated Heteroskedastic Factor Vector Autoregressive model, we find evidence of a deterministic level factor in the EURIBOR-OIS (OIS)...
Persistent link: https://www.econbiz.de/10013106591