In this paper we study how the pattern of segmentation in the euro area money market has been affected by the recent turmoil in financial markets. We use nonparametric estimates of realized volatility to test for volatility spillovers between rates at different maturities. For the pre-turmoil...

This paper investigates the state, development and drivers of banking market integration in the member countries of the Southern African Development Community (SADC) by employing interest rate data. We first conduct a principal component analysis and find evidence for both increasing monetary...

The definition of the decline of long term yields in the light of increasing short term yields as a conundrum by Chairman Greenspan in February 2005 has generated a significant amount of research. This paper presents a study of yield curve dynamics over this period using economic surprise data...

This study investigates the current state of eurozone banking market integration by applying price convergence and cointegration measures to mortgage and short-term corporate loan rates. These two measures of integration often lead to contradicting conclusions and are therefore comparatively...

It is a puzzling fact that many central banks choose to lend intra-day funds at an interest rate of zero (or very close to zero), while the interest rate on overnight funds is much higher. I build a general equilibrium model where intra-day liquidity is needed because it is costly to make...

This paper addresses the question of which fundamentals are the determining factors underlying the price discovery process of money market rates in the euro area (EURIBOR futures). I shed light on how the monetary policy decisions and the external communication of the recently created European...

This study of the major industrial countries' interbank markets for overnight loans links the behavior of very short-term interest rates to the operating procedures of the countries' central banks. Previous studies have focused on key features of the U.S. federal funds rate's behavior. We find...

Interbank money market rates represent the shortest end of the yield curve. In equilibrium they are determined by monetary policy and banks' liquidity and reserve management operations. The central bank pursues interest rate stabilization while targeting long-term economic goals. Its success...

A new approach to search for structural breaks in the retail lending rates pass-through in the wake of EMU is proposed and implemented for Italy and Portugal. The econometric exercise shows that breakpoints cluster in the second semester 1999 and that the passthrough on short term lending is, in...

This paper studies the effects of monetary policy implementation on the euro area money market. In particular, volatility of interest rates with various maturities and volatility transmission along the yield curve is analyzed. It is found that the way monetary policy is implemented affects...