Yes. For the pre-turmoil period, exogeneity tests from vector autoregression (VAR) models suggest the presence of a transmission channel from longer maturities to the overnight. This disappears in the subsample starting in 9 August, 2007. The results of the semiparametric tests of Cappiello et al. (2005a) report evidence of an increase in volatility contagion within the longer end of the money-market curve, which takes place in the lower tail of the empirical distributions.
Did the turmoil affect money-market segmentation in the Euro area? / P. Zagaglia. - In: APPLIED ECONOMICS LETTERS. - ISSN 1350-4851. - STAMPA. - 17:18(2010), pp. 1783-1788. [10.1080/13504850903357384]
Did the turmoil affect money-market segmentation in the Euro area?
ZAGAGLIA, PAOLO
2010
Abstract
Yes. For the pre-turmoil period, exogeneity tests from vector autoregression (VAR) models suggest the presence of a transmission channel from longer maturities to the overnight. This disappears in the subsample starting in 9 August, 2007. The results of the semiparametric tests of Cappiello et al. (2005a) report evidence of an increase in volatility contagion within the longer end of the money-market curve, which takes place in the lower tail of the empirical distributions.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
