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Have the Fed liquidity facilities had an effect on Libor?

Author

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  • Jens H. E. Christensen

Abstract

In response to turmoil in the interbank lending market, the Federal Reserve inaugurated programs to bolster liquidity beginning in December 2007. Research offers evidence that these liquidity facilities have helped lower the London interbank offered rate, a key market benchmark, significantly from what it otherwise would have been expected to be.

Suggested Citation

  • Jens H. E. Christensen, 2009. "Have the Fed liquidity facilities had an effect on Libor?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue aug10.
    • Handle: RePEc:fip:fedfel:y:2009:i:aug10:n:2009-25
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    Cited by:

    1. Aït-Sahalia, Yacine & Andritzky, Jochen & Jobst, Andreas & Nowak, Sylwia & Tamirisa, Natalia, 2012. "Market response to policy initiatives during the global financial crisis," Journal of International Economics, Elsevier, vol. 87(1), pages 162-177.
    2. International Monetary Fund, 2009. "How to Stop a Herd of Running Bears? Market Response to Policy Initiatives during the Global Financial Crisis," IMF Working Papers 2009/204, International Monetary Fund.
    3. Claudio Morana, 2014. "New insights on the US OIS spreads term structure during the recent financial turmoil," Applied Financial Economics, Taylor & Francis Journals, vol. 24(5), pages 291-317, March.
    4. Claudio Morana, 2013. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks: New Insights on the US OIS SPreads Term Structure," Working Papers 233, University of Milano-Bicocca, Department of Economics, revised Feb 2013.

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