Fragmentation in the Euro Overnight Unsecured Money Market
13 Pages Posted: 20 Dec 2014
Date Written: December 15, 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 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