Publication:
Measuring stress in money markets: a dynamic factor approach

Simple item page
dc.contributor.coauthorCarpenter, Seth
dc.contributor.coauthorSchlusche, Bernd
dc.contributor.coauthorSenyuz, Zeynep
dc.contributor.departmentDepartment of Economics
dc.contributor.kuauthorDemiralp, Selva
dc.contributor.schoolcollegeinstituteCollege of Administrative Sciences and Economics
dc.date.accessioned2024-11-09T23:43:07Z
dc.date.issued2014
dc.description.abstractWe 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.
dc.description.fulltextNo
dc.description.harvestedfromManual
dc.description.indexedbyWOS
dc.description.indexedbyScopus
dc.description.openaccessNO
dc.description.peerreviewstatusN/A
dc.description.publisherscopeInternational
dc.description.readpublishN/A
dc.description.sponsoredbyTubitakEuN/A
dc.description.versionN/A
dc.identifier.doi10.1016/j.econlet.2014.08.017
dc.identifier.eissn1873-7374
dc.identifier.embargoN/A
dc.identifier.issn0165-1765
dc.identifier.quartileQ3
dc.identifier.scopus2-s2.0-84907875170
dc.identifier.urihttps://doi.org/10.1016/j.econlet.2014.08.017
dc.identifier.urihttps://hdl.handle.net/20.500.14288/13442
dc.identifier.wos343955000025
dc.keywordsMoney market
dc.keywordsDynamic factor models
dc.keywordsMarkov-switching
dc.keywordsFinancial crisis
dc.language.isoeng
dc.publisherElsevier Science Sa
dc.relation.affiliationKoç University
dc.relation.collectionKoç University Institutional Repository
dc.relation.ispartofEconomics Letters
dc.relation.openaccessN/A
dc.rightsN/A
dc.subjectEconomics
dc.titleMeasuring stress in money markets: a dynamic factor approach
dc.typeJournal Article
dspace.entity.typePublication
local.contributor.kuauthorDemiralp, Selva
relation.isGoalOfPublicationeaf47c02-3b72-478f-96b9-415b778f87fa
relation.isGoalOfPublication.latestForDiscoveryeaf47c02-3b72-478f-96b9-415b778f87fa
relation.isOrgUnitOfPublication7ad2a3bb-d8d9-4cbd-a6a3-3ca4b30b40c3
relation.isOrgUnitOfPublication.latestForDiscovery7ad2a3bb-d8d9-4cbd-a6a3-3ca4b30b40c3
relation.isParentOrgUnitOfPublication972aa199-81e2-499f-908e-6fa3deca434a
relation.isParentOrgUnitOfPublication.latestForDiscovery972aa199-81e2-499f-908e-6fa3deca434a

Files

Collections

Publications without Fulltext