The impact of a new term auction facility on Libor–OIS spreads and volatility transmission between money and mortgage markets during the subprime crisis
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- John B. Taylor & John C. Williams, 2009.
"A black swan in the money market,"
Federal Reserve Bank of San Francisco, issue Jan.
- Tao Wu, 2008. "On the effectiveness of the Federal Reserve's new liquidity facilities," Working Papers 0808, Federal Reserve Bank of Dallas.
- John Taylor & John Williams, 2008. "Further Results on a Black Swan in the Money Market," Discussion Papers 07-046, Stanford Institute for Economic Policy Research.
- In, Francis, 2007. "Volatility spillovers across international swap markets: The US, Japan, and the UK," Journal of International Money and Finance, Elsevier, vol. 26(3), pages 329-341, April.
- Markus K. Brunnermeier, 2009. "Deciphering the Liquidity and Credit Crunch 2007-2008," Journal of Economic Perspectives, American Economic Association, vol. 23(1), pages 77-100, Winter.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Rodríguez-Moreno, María & Peña, Juan Ignacio, 2013.
"Systemic risk measures: The simpler the better?,"
Journal of Banking & Finance,
Elsevier, vol. 37(6), pages 1817-1831.
- Flavius ROVINARU & Mihaela ROVINARU, 2014. "Investments And Development: Milestones Of Romania’S Evolution," Romanian Journal of Economics, Institute of National Economy, vol. 38(1(47)), pages 197-207, June.
- Cécile Bastidon & Nicolas Huchet & Yusuf Kocoðlu, 2013. "A Second Dip in the Euro Area Money Market in 2011? Interbank Risk Premia and the ECB Bonds and Money Markets Policy," The Journal of European Theoretical and Applied Studies, The Center for European Studies at Kirklareli University - Turkey, vol. 1(1), pages 11-52.
- Sheng Huang & Jonathan Williams & Ru Xie, 2017. "The Future of Money: Liquidity co-movement between financial institutions and real estate firms: evidence from China," Working Papers 17004, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- repec:eee:jbfina:v:83:y:2017:i:c:p:193-220 is not listed on IDEAS
- Helwege, Jean & Boyson, Nicole M. & Jindra, Jan, 2017. "Thawing frozen capital markets and backdoor bailouts: Evidence from the Fed's liquidity programs," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 92-119.
- Codruta Maria FAT & Simona MUTU, 2014. "Analyzing The Relationship Between Eonia And Eoniaswap Rates. A Cointegration Approach," Romanian Journal of Economics, Institute of National Economy, vol. 38(1(47)), pages 197-207, June.
- repec:ine:journl:v:2:y:2014:i:44:p:197-207 is not listed on IDEAS
- Cui, Jin & In, Francis & Maharaj, Elizabeth Ann, 2016. "What drives the Libor–OIS spread? Evidence from five major currency Libor–OIS spreads," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 358-375.
More about this item
KeywordsSubprime crisis; Term auction facility; Libor–OIS spread; Commercial paper spread; Jumbo spread;
- G1 - Financial Economics - - General Financial Markets
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jimfin:v:31:y:2012:i:5:p:1106-1125. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/inca/30443 .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.