The Effectiveness of Central Bank Interventions During the First Phase of the Subprime Crisis.

The Effectiveness of Central Bank Interventions During the First Phase of the Subprime Crisis.

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 Fed...

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Bibliographic Details
Main Author: Hesse, Heiko
Other Authors: Frank, Nathaniel
Format: eBook
Language:English
Published: Washington : International Monetary Fund, 2009.
Series:IMF Working Papers.
Subjects:
2008-2009
Banks and banking, Central.
Global Financial Crisis, 2008-2009.
Liquidity (Economics)
Monetary policy.
Subprime mortgage loans.
Banks and banking, Central
Monetary policy
Subprime mortgage loans
Online Access:Click for online access
Table of Contents:
  • Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Review of Developments and Policy Interventions; 1. U.S., U.K., and Euro Area Libor-OIS Spreads; III. Empirical Analysis; 2. Decomposition of U.S. and Euro Area Libor-OIS Spreads; 3. Decomposition of Libor-OIS Spreads; 1. Markov Switching Parameters for Levels and Volatility Models; 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; 2. Bivariate VAR Model; 6. Impulse Response Functions of Bivariate VAR Model.
  • IV. Bivariate GARCH Framework3. Impact of Central Bank Interventions on LIBOR-OIS Spreads; V. Policy Implications and Conclusions; References; Footnotes.

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