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Article Dans Une Revue International Journal of Finance and Economics Année : 2012

Risk of liquidity and contagion of the crisis on the US, UK and Euro Zone money markets

Résumé

The financial crisis has produced a generalized rise of the liquidity risk on the money markets. The purpose of this article is to highlight the mechanisms of contagion between the money markets of the United States, the United Kingdom and the Euro Zone. To give an account of these mechanisms, a BEKK model, in which we introduce a structural break, is adopted. Thus, this model explicitly tests the spillover effects of the liquidity risk premium on money markets. The results show that before the financial crisis (i.e. the reference period), the spillover effects are observed on money markets, as a result of the interconnectedness of these markets, whereas over the crisis period, the liquidity problems go from the United Kingdom to the American money market and then to the euro area. .
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Dates et versions

hal-01098954 , version 1 (30-12-2014)

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Bertrand Blancheton, Christian Bordes, Samuel Maveyraud, Philippe Rous. Risk of liquidity and contagion of the crisis on the US, UK and Euro Zone money markets. International Journal of Finance and Economics, 2012, 17 (2), pp.124-146. ⟨10.1002/ijfe.445⟩. ⟨hal-01098954⟩
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