Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/184750 
Erscheinungsjahr: 
2018
Quellenangabe: 
[Journal:] Applied Economics [ISSN:] 0003-6846 [Volume:] 50 [Issue:] 48 [Publisher:] Taylor & Francis [Place:] London [Year:] 2018 [Pages:] 5204-5219
Verlag: 
Taylor & Francis, London
Zusammenfassung: 
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.
Schlagwörter: 
Euro money market
financial crisis
market microstructure
pricing behaviour
JEL: 
E43
G15
C32
Persistent Identifier der Erstveröffentlichung: 
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Dokumentart: 
Article
Dokumentversion: 
Published Version

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