Publication: Measuring stress in money markets: a dynamic factor approach
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KU-Authors
KU Authors
Co-Authors
Carpenter, Seth
Schlusche, Bernd
Senyuz, Zeynep
Publication Date
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Type
Embargo Status
Journal Title
Journal ISSN
Volume Title
Alternative Title
Abstract
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.
Source
Publisher
Elsevier Science Sa
Subject
Economics
Citation
Has Part
Source
Economics Letters
Book Series Title
Edition
DOI
10.1016/j.econlet.2014.08.017