Cassola, Nuno; Morana, Claudio - 2008
In the framework of a new money market econometric model, we assess the degree of precision achieved by the European …-prime credit crisis on the euro money market during the second half of 2007. This is done in two steps. Firstly, the long …-free” rate close to the policy rate, but has not fully off-set the impact of the credit events on other money market rates. …