(Elsevier , 2014) Demiralp, Selva; Carpenter, Seth; Schlusche, Bernd; Senyuz, Zeynep; Department of Economics; Yes; College of Administrative Sciences and Economics
We extract an index of interest rate spreads from various money market segments to assess the level of funding stress in real time. We find that during the 2007-2009 financial crisis, money markets switched between low and high stress regimes except for brief periods of extreme stress. Transitions to lower stress regimes are typically associated with the non-standard policy measures by the Federal Reserve. Published by Elsevier B.V.
