Fragmentation in the Euro Overnight Unsecured Money Market

10 Pages Posted: 16 Sep 2014 Last revised: 28 Jan 2016

See all articles by Carlos Garcia-de-Andoain

Carlos Garcia-de-Andoain

European Central Bank (ECB)

Peter Hoffmann

European Central Bank (ECB) - Directorate General Research

Simone Manganelli

European Central Bank (ECB)

Multiple version iconThere are 2 versions of this paper

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

Garcia-de-Andoain, Carlos and Hoffmann, Peter and Manganelli, Simone, Fragmentation in the Euro Overnight Unsecured Money Market (August 2014). Available at SSRN: https://ssrn.com/abstract=2496316 or http://dx.doi.org/10.2139/ssrn.2496316

Carlos Garcia-de-Andoain

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Peter Hoffmann (Contact Author)

European Central Bank (ECB) - Directorate General Research ( email )

Kaiserstrasse 29
D-60311 Frankfurt am Main
Germany

Simone Manganelli

European Central Bank (ECB) ( email )

Kaiserstrasse 29
Frankfurt am Main, 60311
Germany

HOME PAGE: http://www.simonemanganelli.org

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