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Have the Fed liquidity facilities had an effect on Libor?

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  • Jens 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.

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Bibliographic Info

Article provided by Federal Reserve Bank of San Francisco in its journal FRBSF Economic Letter.

Volume (Year): (2009)
Issue (Month): aug10 ()
Pages:

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Handle: RePEc:fip:fedfel:y:2009:i:aug10:n:2009-25

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Keywords: Liquidity (Economics) ; Interest rates ; Money market;

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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, Elsevier, vol. 87(1), pages 162-177.
  2. 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, University of Milano-Bicocca, Department of Economics 233, University of Milano-Bicocca, Department of Economics, revised Feb 2013.
  3. 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 09/204, International Monetary Fund.
  4. Spence Hilton & James McAndrews, 2011. "Challenges and lessons of the Federal Reserve's monetary policy operations during the financial crisis," Chapters, European Central Bank, European Central Bank.

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