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.
P. Zagaglia (2010). Did the turmoil affect money-market segmentation in the Euro area?. APPLIED ECONOMICS LETTERS, 17(18), 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.File in questo prodotto:
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