Schulz, Alexander; Stapf, Jelena - Deutsche Bundesbank - 2009
during the financial crisis. The quicker information is processed on one market and the less one market is disrupted by the … financial crisis the more valuable is its information for central banks and market participants. We use a new high frequency … for all maturities. The severe financial crisis that spread out in Autumn 2008 drove a wedge between bond and swap break …