Home

About

Advanced Search

Browse by Discipline

Scientific Societies

E-print Alerts

Add E-prints

E-print Network
FAQHELPSITE MAPCONTACT US


  Advanced Search  

 
Market Response to Policy Initiatives during the Global Financial Crisis YACINE AT-SAHALIA, JOCHEN ANDRITZKY, ANDREAS JOBST,
 

Summary: 1
Market Response to Policy Initiatives during the Global Financial Crisis
YACINE AT-SAHALIA, JOCHEN ANDRITZKY, ANDREAS JOBST,
SYLWIA NOWAK, AND NATALIA TAMIRISA
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. (JEL G01, G14, G15, G18, E65, E63).

At-Sahalia: Bendheim Center for Finance, Princeton University, 26 Prospect Avenue, Princeton, NJ 08540 (e-mail:
yacine@princeton.edu); Andritzky: Monetary and Capital Markets, International Monetary Fund, 700 19th Street N.W.,
Washington, DC 20431 (e-mail: jandritzky@imf.org); Jobst: Monetary and Capital Markets, International Monetary
Fund, 700 19th Street N.W., Washington, DC 20431 (e-mail: ajobst@imf.org); Nowak: Monetary and Capital Markets,
International Monetary Fund, 700 19th Street N.W., Washington, DC 20431 (e-mail:snowak@imf.org); Tamirisa:

  

Source: At-Sahalia, Yacine - Program in Applied and Comptutational Mathematics & Department of Economics, Princeton University

 

Collections: Mathematics