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How to stop a herd of running bears? : market response to policy initiatives during the Global Financial Crisis / / prepared by Yacine Ait-Sahalia ... [et al.]
| How to stop a herd of running bears? : market response to policy initiatives during the Global Financial Crisis / / prepared by Yacine Ait-Sahalia ... [et al.] |
| Autore | Ait-Sahalia Yacine |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | [Washington, D.C.], : International Monetary Fund, Research Dept., 2009 |
| Descrizione fisica | 1 online resource (63 p.) |
| Disciplina | 363.5 |
| Collana | IMF working paper |
| Soggetto topico |
Global Financial Crisis, 2008-2009
Monetary policy Risk |
| ISBN |
1-4623-4870-X
1-4527-6721-1 1-283-51370-6 9786613826152 1-4519-1772-4 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover Page; Title Page; Copyright Page; Contents; Figures; Tables; I. Introduction; 1. Residential Investment (y-o-y real growth rate); 2. House Price Indices (y-o-y percent growth rate); 3. 3-Month T-Bill Rates in Spain and in the EMU; 4. Number of Households and Population. Annual Growth Rates; II. The Model; A. Households; B. Producers; B.1 Final Goods Producers; B.2 Intermediate Goods Producers; C. Closing the Model; C.1 Market Clearing Conditions; C.2 Monetary Policy Rule; III. Bayesian Estimation; A. Data; B. Priors and Posteriors; 1. Calibrated parameters
2a. Prior and Posterior Disributions5. Priors (black solid line) and Posteriors (red dashed line); 6. Priors (black solid line) and Posteriors (red dashed line); 2b. Prior and Posterior Disributions; C. Implications of the Model: Posterior Second Moments and Impulse Responses; C.1 Second Moments; 3a. Second Moments in Spain; 3b. Second Moments in the rest of EMU; 4. Variance Decomposition (in percent); C.2 Model Simulation; 7. Model Simulation with Smoothed Shocks. Percent Contribution of Each Shock to Overall Volatility; C.3 Impulse Responses 8. Posterior Impulse Responses (mean and 95% C.I.) to a Technology Shock in the Housing Sector9. Posterior Impulse Responses (mean and 95% C.I.) to a Preference Shock in the Housing Sector; 10. Posterior Impulse Responses (mean and 95% C.I.) to a Monetary Policy Shock in the Euro Area; IV. Robustness: The Role of Financial Frictions and Labor Market Rigidities; 5. Model Comparison; V. Conclusions; References; Footnotes |
| Record Nr. | UNINA-9910825683803321 |
Ait-Sahalia Yacine
|
||
| [Washington, D.C.], : International Monetary Fund, Research Dept., 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
How to stop a herd of running bears? : market response to policy initiatives during the Global Financial Crisis / / Yacine Ait-Sahalia ... [et al.]
| How to stop a herd of running bears? : market response to policy initiatives during the Global Financial Crisis / / Yacine Ait-Sahalia ... [et al.] |
| Autore | Ait-Sahalia Yacine |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | [Washington, D.C.], : International Monetary Fund, 2009 |
| Descrizione fisica | 1 online resource (80 p.) |
| Disciplina |
330.9
330.90511 |
| Collana | IMF working paper |
| Soggetto topico |
Global Financial Crisis, 2008-2009
Recessions |
| ISBN |
1-4623-3053-3
1-4527-5308-3 9786612844102 1-282-84410-5 1-4518-7351-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Measuring Financial Sector Distress and Policy Initiatives; A. The Libor-OIS Spread; 1 The 3-month Libor-OIS Spreads in Levels and First Differences, in the United States, United Kingdom, Euro Area and Japan, January 1, 2007-March 31, 2009; B. Crisis Timeline; C. Policy Announcements; 1. Classification of Policy Measures; 2. Number of Front-Page Policy Announcements, June 1, 2007-March 31, 2009; 2. Cumulative Number of Front-Page Policy Announcements, June 1, 2007-March 31, 2009; III. Event Study Methodology
3. Impact of Policy Announcements on the Libor-OIS Spread, June 1, 2007-March 31, 2009IV. Impact of Policy Announcements on Interbank Credit and Liquidity Risk; A. Analysis on a Pooled Sample; Graphical Analysis; 4. Frequency Plots for the Pooled Sample of Announcements; 5. Time Profile of the Response of the Libor-OIS Spread to Policy Announcements; Statistical Analysis; 6. Magnitude and Statistical Significance of the Libor-OIS Spread Response to Policy Announcements (Pooled Sample); 3. Statistical Tests on a Pooled Sample for Alternative Event Windows and Measures of Surprise 4. Statistical Tests on a Pooled Sample for Alternative Measures of Financial Risk5. Characteristics and Impact of Financial Sector Policy Measures; B. Robustness Checks; C. Country-Specific Results; Graphical Analysis; 7. Impact of Domestic and Foreign Policy Announcements on the Libor-OIS Spread, June 1, 2007-March 31, 2009; Statistical Analysis; 8. Magnitude and Statistical Significance of the Libor-OIS Spread Response to Domestic and Foreign Policy Announcements (by Country) 9. Magnitude and Statistical Significance of the Libor-OIS Spread Response to Domestic and Foreign Policy Inaction and Ad Hoc Bank Bailouts (by Country)6. Statistical Significance of Foreign Policy Announcments on the Libor-OIS Spreads; V. Conclusion; Appendix I. Statistical Tests; References; Footnotes |
| Record Nr. | UNINA-9910812314903321 |
|
Ait-Sahalia Yacine
|
||
| [Washington, D.C.], : International Monetary Fund, 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||