05460oam 22012494 450 991096213280332120250426110945.0978661284412697814623345751462334571978128284412412828441219781451873535145187353097814527369451452736944(CKB)3170000000055352(SSID)ssj0000939882(PQKBManifestationID)11570201(PQKBTitleCode)TC0000939882(PQKBWorkID)10938514(PQKB)11432511(OCoLC)469975181(IMF)WPIEE2009206(MiAaPQ)EBC1608834(IMF)WPIEA2009206WPIEA2009206(EXLCZ)99317000000005535220020129d2009 uf 0engurcn|||||||||txtccrThe Effectiveness of Central Bank Interventions During the First Phase of the Subprime Crisis /Heiko Hesse, Nathaniel Frank1st ed.Washington, D.C. :International Monetary Fund,2009.28 p. illIMF Working Papers"September 2009."9781451917758 1451917759 Intro -- Contents -- I. Introduction -- II. Review of Developments and Policy Interventions -- III. Empirical Analysis -- IV. Bivariate GARCH Framework -- V. Policy Implications and Conclusions -- References -- Figures -- 1. U.S., U.K., and Euro Area Libor-OIS Spreads -- 2. Decomposition of U.S. and Euro Area Libor-OIS Spreads -- 3. Decomposition of Libor-OIS Spreads -- 4. Markov Switching Mean-Variance Model for Euro Area and U.S. Libor-OIS Spreads -- 5. Markov Switching ARCH Model for Euro Area and U.S. Libor-OIS Spreads -- 6. Impulse Response Functions of Bivariate VAR Model -- Tables -- 1. Markov Switching Parameters for Levels and Volatility Models -- 2. Bivariate VAR Model -- 3. Impact of Central Bank Interventions on LIBOR-OIS Spreads.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 policyBankingimfBanks and BankingimfBanks and bankingimfBanksimfDepository InstitutionsimfEconomicsimfFinanceimfFinance: GeneralimfGeneral Financial Markets: General (includes Measurement and Data)imfInterbank marketsimfInterbank ratesimfInterest ratesimfInterest Rates: Determination, Term Structure, and EffectsimfInternational financeimfInvestment DecisionsimfLiquidityimfMicro Finance InstitutionsimfMoney marketimfMoney marketsimfMortgagesimfPortfolio ChoiceimfUnited StatesimfBanks and banking, Central.Global Financial Crisis, 2008-2009.Subprime mortgage loans.Liquidity (Economics)Monetary policy.BankingBanks and BankingBanks and bankingBanksDepository InstitutionsEconomicsFinanceFinance: GeneralGeneral Financial Markets: General (includes Measurement and Data)Interbank marketsInterbank ratesInterest ratesInterest Rates: Determination, Term Structure, and EffectsInternational financeInvestment DecisionsLiquidityMicro Finance InstitutionsMoney marketMoney marketsMortgagesPortfolio Choice332.1;332.11Hesse Heiko1816008Frank Nathaniel821International Monetary Fund.Middle East and Central Asia Dept.DcWaIMFBOOK9910962132803321The Effectiveness of Central Bank Interventions During the First Phase of the Subprime Crisis4371651UNINA