文章基本信息

标题：Euro money market spreads during the 2007-? financial crisis
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作者：Nuno Cassola ; Claudio Morana
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2012
出版社：European Central Bank
摘要：In the paper we investigate the empirical features of euro area money market turbulence during the recent nancial crisis. By means of a novel Fractionally Integrated Heteroskedastic Factor Vector Au- toregressive model, we nd evidence of a deterministic level factor in the EURIBOR-OIS (OIS) spreads term structure, associated with the two waves of stress in the interbank market, following the BNP Paribas (9 August 2007) and the Lehman Brothers (16 September 2008) shocks, and two additional factors, of the long memory type, bearing the interpretation of curvature and slope factors. The unfold- ing of the crisis yielded a signicant increase in the persistence and volatility of OIS spreads. We also nd evidence of a declining trend in the level and volatility of OIS spreads since December 2008, associated with ECB interest rate cuts and full allotment policy.
关键词：money market interest rates; credit/liquidity risk; frac-;tionally integrated heteroskedastic factor vector autoregressive model.