Fragmentation in the Euro Overnight Unsecured Money Market

Garcia-de-Andoain, Carlos; Hoffmann, Peter; Manganelli , Simone

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Fragmentation in the Euro Overnight Unsecured Money Market

ECB Working Paper No. 1755

13 Pages Posted: 20 Dec 2014

See all articles by Carlos Garcia-de-Andoain

Peter Hoffmann

European Central Bank (ECB) - Directorate General Research

Simone Manganelli

European Central Bank (ECB)

There are 2 versions of this paper

Date Written: December 15, 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 tensions, considerable signs of market fragmentation remained 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

Garcia-de-Andoain, Carlos and Hoffmann, Peter and Manganelli, Simone, Fragmentation in the Euro Overnight Unsecured Money Market (December 15, 2014). ECB Working Paper No. 1755, Available at SSRN: https://ssrn.com/abstract=2538466