04441oam 22011294 450 991078822640332120230721045713.01-4623-3457-197866128441261-282-84412-11-4518-7353-01-4527-3694-4(CKB)3170000000055352(SSID)ssj0000939882(PQKBManifestationID)11570201(PQKBTitleCode)TC0000939882(PQKBWorkID)10938514(PQKB)11432511(OCoLC)469975181(MiAaPQ)EBC1608834(IMF)WPIEE2009206(EXLCZ)99317000000005535220020129d2009 uf 0engurcn|||||||||txtccrThe Effectiveness of Central Bank Interventions During the First Phase of the Subprime Crisis /Heiko Hesse, Nathaniel FrankWashington, D.C. :International Monetary Fund,2009.28 p. illIMF Working Papers"September 2009."1-4519-1775-9 This paper provides evidence that central bank interventions had a statistically significant impact on easing stress in unsecured interbank markets during the first phase of the subprime crisis which began in July 2007. Extraordinary liquidity provisions, such as the Term Auction Facility by the Federal Reserve, are analyzed. First a decomposition of the Libor-OIS spread indicates that credit premia increased in importance as the crisis deepened. Second, using Markov switching models, central bank operations are then graphically associated with reductions in term funding stress. Finally, bivariate VAR and GARCH models are adopted to econometrically quantified these impacts. While helpful in compressing Libor spreads, the economic magnitudes of central interventions have overall not been very large.IMF Working Papers; Working Paper ;No. 2009/206Banks and banking, CentralGlobal Financial Crisis, 2008-2009Subprime mortgage loansLiquidity (Economics)Monetary policyBanks and BankingimfFinance: GeneralimfGeneral Financial Markets: General (includes Measurement and Data)imfInterest Rates: Determination, Term Structure, and EffectsimfBanksimfDepository InstitutionsimfMicro Finance InstitutionsimfMortgagesimfPortfolio ChoiceimfInvestment DecisionsimfFinanceimfBankingimfMoney marketsimfInterbank ratesimfInterbank marketsimfLiquidityimfMoney marketimfInterest ratesimfInternational financeimfBanks and bankingimfEconomicsimfUnited StatesimfBanks and banking, Central.Global Financial Crisis, 2008-2009.Subprime mortgage loans.Liquidity (Economics)Monetary policy.Banks and BankingFinance: GeneralGeneral Financial Markets: General (includes Measurement and Data)Interest Rates: Determination, Term Structure, and EffectsBanksDepository InstitutionsMicro Finance InstitutionsMortgagesPortfolio ChoiceInvestment DecisionsFinanceBankingMoney marketsInterbank ratesInterbank marketsLiquidityMoney marketInterest ratesInternational financeBanks and bankingEconomicsHesse Heiko1472688Frank Nathaniel821International Monetary Fund.Middle East and Central Asia Dept.DcWaIMFBOOK9910788226403321The Effectiveness of Central Bank Interventions During the First Phase of the Subprime Crisis3741568UNINA