04487nam 2200649Ia 450 991046401790332120170815101909.01-4623-3053-31-4527-5308-397866128441021-282-84410-51-4518-7351-4(CKB)3170000000055350(EBL)1608831(SSID)ssj0001477340(PQKBManifestationID)11870393(PQKBTitleCode)TC0001477340(PQKBWorkID)11449876(PQKB)11661572(OCoLC)469983835(MiAaPQ)EBC1608831(EXLCZ)99317000000005535020100902d2009 uf 0engur|n|---|||||txtccrHow to stop a herd of running bears?[electronic resource] market response to policy initiatives during the Global Financial Crisis /Yacine Aït-Sahalia ... [et al.][Washington, D.C.] International Monetary Fund20091 online resource (80 p.)IMF working paper ;WP/09/204Description based upon print version of record.1-4519-1773-2 Includes bibliographical references.Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Measuring Financial Sector Distress and Policy Initiatives; A. The Libor-OIS Spread; 1 The 3-month Libor-OIS Spreads in Levels and First Differences, in the United States, United Kingdom, Euro Area and Japan, January 1, 2007-March 31, 2009; B. Crisis Timeline; C. Policy Announcements; 1. Classification of Policy Measures; 2. Number of Front-Page Policy Announcements, June 1, 2007-March 31, 2009; 2. Cumulative Number of Front-Page Policy Announcements, June 1, 2007-March 31, 2009; III. Event Study Methodology3. Impact of Policy Announcements on the Libor-OIS Spread, June 1, 2007-March 31, 2009IV. Impact of Policy Announcements on Interbank Credit and Liquidity Risk; A. Analysis on a Pooled Sample; Graphical Analysis; 4. Frequency Plots for the Pooled Sample of Announcements; 5. Time Profile of the Response of the Libor-OIS Spread to Policy Announcements; Statistical Analysis; 6. Magnitude and Statistical Significance of the Libor-OIS Spread Response to Policy Announcements (Pooled Sample); 3. Statistical Tests on a Pooled Sample for Alternative Event Windows and Measures of Surprise4. Statistical Tests on a Pooled Sample for Alternative Measures of Financial Risk5. Characteristics and Impact of Financial Sector Policy Measures; B. Robustness Checks; C. Country-Specific Results; Graphical Analysis; 7. Impact of Domestic and Foreign Policy Announcements on the Libor-OIS Spread, June 1, 2007-March 31, 2009; Statistical Analysis; 8. Magnitude and Statistical Significance of the Libor-OIS Spread Response to Domestic and Foreign Policy Announcements (by Country)9. Magnitude and Statistical Significance of the Libor-OIS Spread Response to Domestic and Foreign Policy Inaction and Ad Hoc Bank Bailouts (by Country)6. Statistical Significance of Foreign Policy Announcments on the Libor-OIS Spreads; V. Conclusion; Appendix I. Statistical Tests; References; FootnotesThis paper examines the impact of macroeconomic and financial sector policy announcements in the United States, the United Kingdom, the euro area, and Japan during the recent crisis on interbank credit and liquidity risk premia. Announcements of interest rate cuts, liquidity support, liability guarantees, and recapitalization were associated with a reduction of interbank risk premia, albeit to a different degree during the subprime and global phases of the crisis. Decisions not to reduce interest rates and bail out individual banks in an ad hoc manner had adverse repercussions, both domesticalIMF working paper ;WP/09/204.Global Financial Crisis, 2008-2009RecessionsElectronic books.Global Financial Crisis, 2008-2009.Recessions.330.9330.90511Aït-Sahalia Yacine936725International Monetary Fund.MiAaPQMiAaPQMiAaPQBOOK9910464017903321How to stop a herd of running bears2109840UNINA