This paper examines the various stages of the sovereign debt crisis of the euro area, the ensuing re-segmentation of several financial market segments and the disruptions in the transmission of monetary policy impulses. The paper provides the first systematic attempt to describe the European...

In this paper we propose a new methodology to estimate the volatility of interest rates in the euro area money market. In particular, our approach aims at avoiding the limitations of currently available measures, i.e. the dependency on arbitrary choices in terms of maturity and frequencies...

The market-oriented approach promoted by the European Central Bank in the design of its refinancing operations creates incentives to credit insitutions to use actively the interbank market to manage their liquidity needs. In this context, we examine the ability of the overnight segment to...

The destructive potential of the sovereign debt crisis of the euro area has been slowly abating since last summer, but still remains considerable. One reason for it is the sheer complexity of the crisis, which brings together several harmful factors, some long-standing, others more recent, like...

The destructive potential of the sovereign debt crisis of the euro area has been slowly abating since last summer, but still remains considerable. One reason for it is the sheer complexity of the crisis, which brings together several harmful factors, some long-standing, others more recent, like...

[fre] Structure par terme des taux d'intérêt, volatilité et prime de risque : . applications au marché de l'Eurolire . par Francesco Drudi et Roberto Violi . Cet article est consacré au contenu en information de la structure par terme des taux d'intérêt pour le marché de l'Eurolire. À...