LEADER 03702nam 2200673Ia 450 001 9910812314703321 005 20200520144314.0 010 $a1-4623-3457-1 010 $a9786612844126 010 $a1-282-84412-1 010 $a1-4518-7353-0 010 $a1-4527-3694-4 035 $a(CKB)3170000000055352 035 $a(SSID)ssj0000939882 035 $a(PQKBManifestationID)11570201 035 $a(PQKBTitleCode)TC0000939882 035 $a(PQKBWorkID)10938514 035 $a(PQKB)11432511 035 $a(OCoLC)469975181 035 $a(IMF)WPIEE2009206 035 $a(MiAaPQ)EBC1608834 035 $a(EXLCZ)993170000000055352 100 $a20100225d2009 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 /$fprepared by Nathaniel Frank and Heiko Hesse 205 $a1st ed. 210 $a[Washington, D.C.] $cInternational Monetary Fund, Middle East and Central Asia Dept.$d2009 215 $a28 p. $cill 225 1 $aIMF working paper ;$vWP/09/206 300 $a"September 2009." 311 $a1-4519-1775-9 327 $aIntro -- 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. 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 paper ;$vWP/09/206. 606 $aBanks and banking, Central 606 $aGlobal Financial Crisis, 2008-2009 606 $aSubprime mortgage loans 606 $aLiquidity (Economics) 606 $aMonetary policy 615 0$aBanks and banking, Central. 615 0$aGlobal Financial Crisis, 2008-2009. 615 0$aSubprime mortgage loans. 615 0$aLiquidity (Economics) 615 0$aMonetary policy. 676 $a332.1;332.11 700 $aFrank$b Nathaniel$0821 701 $aHesse$b Heiko$01600314 712 02$aInternational Monetary Fund.$bMiddle East and Central Asia Dept. 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910812314703321 996 $aThe Effectiveness of Central Bank Interventions During the First Phase of the Subprime Crisis$93944844 997 $aUNINA