Cassola, Nuno; Morana, Claudio - European Central Bank - 2008
-prime credit crisis on the euro money market during the second half of 2007. This is done in two steps. Firstly, the long …, policy interventions, and credit risk) is assessed by jointly modelling their behaviour. We show that, after August 2007 …-free” rate close to the policy rate, but has not fully off-set the impact of the credit events on other money market rates. JEL …