Fragmentation in the Euro overnight unsecured money market

This paper examines the degree of fragmentation in the Euro overnight unsecured money market during the period June 2008-August 2013 using interbank loans constructed from payments data. After controlling for cross-country differences in bank risk, we document several episodes of significant market fragmentation. While non-standard measures such as the provision of long-term liquidity were successful in reducing tensions, considerable signs of market fragmentation remained at the end of the sample period.