Did the turmoil affect money-market segmentation in the Euro area?

Abstract

Yes. For the preturmoil period, exogeneity tests from vector autoregression (VAR) models suggest the presence of a transmission channel from longer maturities to the overnight. This disappears in the subsample starting in 9 August, 2007. The results of the semiparametric tests of Cappiello et al.(2005a) report evidence of an increase in volatility contagion within the longer end of the money-market curve, which takes place in the lower tail of the empirical distributions.