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

@article{citeulike:6045124, abstract = {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.}, author = {Hesse, Heiko and Frank, Nathaniel}, citeulike-article-id = {6045124}, citeulike-linkout-0 = {http://ssrn.com/abstract=1486524}, citeulike-linkout-1 = {http://papers.ssrn.com/sol3/Delivery.cfm/wp09206.pdf?abstractid=1486524&mirid=1}, day = {13}, journal = {Social Science Research Network Working Paper Series}, keywords = {bank, banking, banks, central, credit, crisis, economic, financial, liquidity, loans, management, models, monetary, policy, risk, sector}, month = {October}, posted-at = {2009-10-30 22:06:02}, priority = {2}, publisher = {SSRN}, title = {The Effectiveness of Central Bank Interventions During the First Phase of the Subprime Crisis}, url = {http://ssrn.com/abstract=1486524}, year = {2009} }

TY - JOUR ID - citeulike:6045124 L3 - citeulike-article-id:6045124 N2 - 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. JF - Social Science Research Network Working Paper Series TI - The Effectiveness of Central Bank Interventions During the First Phase of the Subprime Crisis PB - SSRN KW - bank KW - banking KW - banks KW - central KW - credit KW - crisis KW - economic KW - financial KW - liquidity KW - loans KW - management KW - models KW - monetary KW - policy KW - risk KW - sector AU - Hesse, Heiko AU - Frank, Nathaniel PY - 2009/October/13/ UR - http://ssrn.com/abstract=1486524 ER -