How to Stop a Herd of Running Bears? Market Response to Policy Initiatives During the Global Financial Crisis.
Title:
How to Stop a Herd of Running Bears? Market Response to Policy Initiatives During the Global Financial Crisis.
Author:
Fund, International Monetary.
ISBN:
9781452753089
Personal Author:
Physical Description:
1 online resource (50 pages)
Series:
IMF Working Papers
Contents:
Contents -- I. Introduction -- II. Measuring Financial Sector Distress and Policy Initiatives -- A. The Libor-OIS Spread -- B. Crisis Timeline -- C. Policy Announcements -- III. Event Study Methodology -- IV. Impact of Policy Announcements on Interbank Credit and Liquidity Risk -- A. Analysis on a Pooled Sample -- Graphical Analysis -- Statistical Analysis -- B. Robustness Checks -- C. Country-Specific Results -- Graphical Analysis -- Statistical Analysis -- V. Conclusion -- References -- Tables -- 1. Classification of Policy Measures -- 2. Number of Front-Page Policy Announcements, June 1, 2007-March 31, 2009 -- 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 Risk -- 5. Characteristics and Impact of Financial Sector Policy Measures -- 6. Statistical Significance of Foreign Policy Announcments on the Libor-OIS Spreads -- Figures -- 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 -- 2. Cumulative Number of Front-Page Policy Announcements, June 1, 2007-March 31, 2009 -- 3. Impact of Policy Announcements on the Libor-OIS Spread, June 1, 2007-March 31, 2009 -- 4. Frequency Plots for the Pooled Sample of Announcements -- 5. Time Profile of the Response of the Libor-OIS Spread to Policy Announcements -- 6. Magnitude and Statistical Significance of the Libor-OIS Spread Response to Policy Announcements (Pooled Sample) -- 7. Impact of Domestic and Foreign Policy Announcements on the Libor-OIS Spread, June 1, 2007-March 31, 2009 -- 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) -- Appendix I. Statistical Tests.
Abstract:
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.
Local Note:
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2017. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
Genre:
Electronic Access:
Click to View