Fragmentation in the Euro Overnight Unsecured Money Market
10 Pages Posted: 16 Sep 2014 Last revised: 28 Jan 2016
Date Written: August 2014
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