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financial crisis by analyzing LIBOR-OIS spreads. It focuses on the US, Eurozone, UK and Japan. The sample is divided into two … and Japan through the process of global transmission. However, in Sample B such a coordination was found only between UK …
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This paper estimates the factors underlying the volatility of the euro overnight interest rate and its transmission along the euro area money market yield curve. A new multivariate unobserved components model is proposed allowing for both long-memory and stationary cyclical dynamics. Using...
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with that of the United States and Japan. Using new and comprehensive financial account data, we also describe how the euro …
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