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Measuring stress in money markets: a dynamic factor approach

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Carpenter, Seth
Schlusche, Bernd
Senyuz, Zeynep

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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.

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Elsevier Science Sa

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Economics

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Economics Letters

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10.1016/j.econlet.2014.08.017

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