Fragmentation in the Euro Overnight Unsecured Money Market
10 Pages Posted: 16 Sep 2014 Last revised: 28 Jan 2016
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Fragmentation in the Euro Overnight Unsecured Money Market
Fragmentation in the Euro Overnight Unsecured Money Market
Date Written: August 2014
Abstract
This paper examines the degree of fragmentation in the Euro overnight unsecured money market during the period June 2008-August 2013 using interbank loans constructed from payments data. After controlling for cross-country differences in bank risk, we document several episodes of significant market fragmentation. While non-standard measures such as the provision of long-term liquidity were successful in reducing market tensions, the market continued to be fragmented at the end of the sample period.
Keywords: Money Markets, Financial Integration, Sovereign Debt Crisis, Monetary Policy Implementation
JEL Classification: G1, E5
Suggested Citation: Suggested Citation