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A question of survival -- Defective design -- Fragile strength -- Greeks bearing debts -- Bad banks -- Hotel California: the existential crisis -- Defender of last resort -- Sovereign remedies -- Debtors' prison
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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)...
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