Working Papers in full text
2013
2012
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
2001
2000
1999
1998
1997
All
Other research-related activities and publications of the IMF can be found at IMF Research
|
Free Email Notification
Receive emails when we post new
items of interest to you.
Subscribe or
Modify your profile
|
|
|
|
How to Stop a Herd of Running Bears? Market Response to Policy Initiatives during the Global Financial Crisis
|
Author/Editor: |
Aït-Sahalia, Yacine | Andritzky, Jochen R. | Jobst, Andreas | Nowak, Sylwia Barbara | Tamirisa, Natalia T. |
| Authorized for Distribution: |
September 1, 2009 |
|
Electronic Access: |
Free Full Text (PDF file size is 859KB)
Use the free Adobe Acrobat Reader to view this PDF file.
Link to data for this title. (ZIP file size is 132KB)
|
|
|
|
Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.
|
|
Summary: This paper examines the impact of macroeconomic and financial sector policy announcements in the United States, the United Kingdom, the euro area, and Japan during the recent crisis on interbank credit and liquidity risk premia. Announcements of interest rate cuts, liquidity support, liability guarantees, and recapitalization were associated with a reduction of interbank risk premia, albeit to a different degree during the subprime and global phases of the crisis. Decisions not to reduce interest rates and bail out individual banks in an ad hoc manner had adverse repercussions, both domestically and abroad. The results are robust to controlling for the surprise content of announcements and using alternative measures of financial distress.
|
|
|
|
Order a print copy
|
|
Series: |
Working Paper No. 09/204 |
|
Subject(s): |
Banks | Capital markets | Central banks | Data analysis | Databases | Financial crisis | Financial sector | Monetary policy | Spillovers | Statistics |
|
Author's keyword(s): |
Crisis
| policy
| announcement
| event
| financial
| liquidity
| monetary
| fiscal
| bank
|
|
|
|
|
| |
Published: |
|
September 1, 2009 |
|
|
|
|
| |
|
|
|
|
Format: |
|
Paper |
| |
Stock No: |
|
WPIEA2009204 |
|
Pages: |
|
48 |
| |
Price: |
|
US$18.00 (Academic Rate: US$18.00 )
|
|
|
|
|
|
|
