The Effectiveness of Central Bank Interventions During the First Phase of the Subprime Crisis / / Heiko Hesse, Nathaniel Frank
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| Autore: |
Hesse Heiko
|
| Titolo: |
The Effectiveness of Central Bank Interventions During the First Phase of the Subprime Crisis / / Heiko Hesse, Nathaniel Frank
|
| Pubblicazione: | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica: | 28 p. : ill |
| Soggetto topico: | Banks and banking, Central |
| Global Financial Crisis, 2008-2009 | |
| Subprime mortgage loans | |
| Liquidity (Economics) | |
| Monetary policy | |
| Banks and Banking | |
| Finance: General | |
| General Financial Markets: General (includes Measurement and Data) | |
| Interest Rates: Determination, Term Structure, and Effects | |
| Banks | |
| Depository Institutions | |
| Micro Finance Institutions | |
| Mortgages | |
| Portfolio Choice | |
| Investment Decisions | |
| Finance | |
| Banking | |
| Money markets | |
| Interbank rates | |
| Interbank markets | |
| Liquidity | |
| Money market | |
| Interest rates | |
| International finance | |
| Banks and banking | |
| Economics | |
| Soggetto geografico: | United States |
| Altri autori: |
FrankNathaniel
|
| Note generali: | "September 2009." |
| Sommario/riassunto: | 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. |
| Titolo autorizzato: | The Effectiveness of Central Bank Interventions During the First Phase of the Subprime Crisis |
| ISBN: | 1-4623-3457-1 |
| 9786612844126 | |
| 1-282-84412-1 | |
| 1-4518-7353-0 | |
| 1-4527-3694-4 | |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910788226403321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
IMF Working Papers; Working Paper ; ; No. 2009/206