The effectiveness of central bank interventions during the first phase of the subprime crisis / / prepared by Nathaniel Frank and Heiko Hesse
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| Autore: |
Frank Nathaniel
|
| Titolo: |
The effectiveness of central bank interventions during the first phase of the subprime crisis / / prepared by Nathaniel Frank and Heiko Hesse
|
| Pubblicazione: | [Washington, D.C.], : International Monetary Fund, Middle East and Central Asia Dept., 2009 |
| Edizione: | 1st ed. |
| Descrizione fisica: | 28 p. : ill |
| Disciplina: | 332.1;332.11 |
| Soggetto topico: | Banks and banking, Central |
| Global Financial Crisis, 2008-2009 | |
| Subprime mortgage loans | |
| Liquidity (Economics) | |
| Monetary policy | |
| Altri autori: |
HesseHeiko
|
| Note generali: | "September 2009." |
| Nota di contenuto: | 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. |
| 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.: | 9910812314703321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
IMF working paper ; ; WP/09/206.