Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/184750 
Year of Publication: 
2018
Citation: 
[Journal:] Applied Economics [ISSN:] 0003-6846 [Volume:] 50 [Issue:] 48 [Publisher:] Taylor & Francis [Place:] London [Year:] 2018 [Pages:] 5204-5219
Publisher: 
Taylor & Francis, London
Abstract: 
This article shows how the recent money market disruptions with elevated counterparty risks and uncertainty about the fundamental value of liquidity influenced the trading behaviour of a key dealer in the Euro money market. The complete trading record in the unsecured segment of the money market for 2007 and 2008 is used to estimate a stylized pricing model, which explicitly accounts for the over-the-counter structure. The empirical results suggest that the market maker learns from order flow, but this information aggregation was increasingly hampered as the crisis unfolded.
Subjects: 
Euro money market
financial crisis
market microstructure
pricing behaviour
JEL: 
E43
G15
C32
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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