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The financial crisis and the dynamics of the money market rates

Hasler, Nicole. (2014) The financial crisis and the dynamics of the money market rates. WWZ Forschungsbericht, 2014 (08). Basel.

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Official URL: https://edoc.unibas.ch/62732/

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Abstract

This paper contributes to the ongoing debate about the changing dynamics in the money market rates after 2007. It aims to analyse the interest rate channel of monetary policy transmission until the federal funds target rate reached the zero lower bound. A set of different model explains both long and short run dynamics of U.S. money market rates up to 6 months. I find that secured money market rates move together with monetary policy expectations whereas unsecured interbank rates disconnected from policy rates due to an increase in both credit and liquidity risks.
Faculties and Departments:06 Faculty of Business and Economics
06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften
UniBasel Contributors:Hasler, Nicole
Item Type:Working Paper
Publisher:WWZ
Number of Pages:46
Note:Publication type according to Uni Basel Research Database: Discussion paper / Internet publication
Language:English
Last Modified:05 Apr 2018 08:00
Deposited On:05 Apr 2018 08:00

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