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010   $a1-4527-3694-4
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035   $a(PQKBTitleCode)TC0000939882
035   $a(PQKBWorkID)10938514
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035   $a(IMF)WPIEE2009206
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100   $a20020129d2009      uf             0
101 0 $aeng
135   $aurcn|||||||||
181   $ctxt
182   $cc
183   $acr
200 14$aThe Effectiveness of Central Bank Interventions During the First Phase of the Subprime Crisis /$fHeiko Hesse, Nathaniel Frank
210  1$aWashington, D.C. :$cInternational Monetary Fund,$d2009.
215   $a28 p. $cill
225 1 $aIMF Working Papers
300   $a"September 2009."
311   $a1-4519-1775-9 
330 3 $aThis paper provides evidence that central bank interventions had a statistically significant impact on easing stress in unsecured interbank markets during the first phase of the subprime crisis which began in July 2007. Extraordinary liquidity provisions, such as the Term Auction Facility by the Federal Reserve, are analyzed. First a decomposition of the Libor-OIS spread indicates that credit premia increased in importance as the crisis deepened. Second, using Markov switching models, central bank operations are then graphically associated with reductions in term funding stress. Finally, bivariate VAR and GARCH models are adopted to econometrically quantified these impacts. While helpful in compressing Libor spreads, the economic magnitudes of central interventions have overall not been very large.
410  0$aIMF Working Papers; Working Paper ;$vNo. 2009/206
606   $aBanks and banking, Central
606   $aGlobal Financial Crisis, 2008-2009
606   $aSubprime mortgage loans
606   $aLiquidity (Economics)
606   $aMonetary policy
606   $aBanks and Banking$2imf
606   $aFinance: General$2imf
606   $aGeneral Financial Markets: General (includes Measurement and Data)$2imf
606   $aInterest Rates: Determination, Term Structure, and Effects$2imf
606   $aBanks$2imf
606   $aDepository Institutions$2imf
606   $aMicro Finance Institutions$2imf
606   $aMortgages$2imf
606   $aPortfolio Choice$2imf
606   $aInvestment Decisions$2imf
606   $aFinance$2imf
606   $aBanking$2imf
606   $aMoney markets$2imf
606   $aInterbank rates$2imf
606   $aInterbank markets$2imf
606   $aLiquidity$2imf
606   $aMoney market$2imf
606   $aInterest rates$2imf
606   $aInternational finance$2imf
606   $aBanks and banking$2imf
606   $aEconomics$2imf
607   $aUnited States$2imf
615  0$aBanks and banking, Central.
615  0$aGlobal Financial Crisis, 2008-2009.
615  0$aSubprime mortgage loans.
615  0$aLiquidity (Economics)
615  0$aMonetary policy.
615  7$aBanks and Banking
615  7$aFinance: General
615  7$aGeneral Financial Markets: General (includes Measurement and Data)
615  7$aInterest Rates: Determination, Term Structure, and Effects
615  7$aBanks
615  7$aDepository Institutions
615  7$aMicro Finance Institutions
615  7$aMortgages
615  7$aPortfolio Choice
615  7$aInvestment Decisions
615  7$aFinance
615  7$aBanking
615  7$aMoney markets
615  7$aInterbank rates
615  7$aInterbank markets
615  7$aLiquidity
615  7$aMoney market
615  7$aInterest rates
615  7$aInternational finance
615  7$aBanks and banking
615  7$aEconomics
700   $aHesse$b Heiko$01472688
701   $aFrank$b Nathaniel$0821
712 02$aInternational Monetary Fund.$bMiddle East and Central Asia Dept.
801  0$bDcWaIMF
906   $aBOOK
912   $a9910788226403321
996   $aThe Effectiveness of Central Bank Interventions During the First Phase of the Subprime Crisis$93741568
997   $aUNINA