The impact of a new term auction facility on Libor–OIS spreads and volatility transmission between money and mortgage markets during the subprime crisis
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DOI: 10.1016/j.jimonfin.2011.12.013
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References listed on IDEAS
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Cited by:
- 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.
- María Rodríguez-Moreno & Juan Ignacio Peña, 2011. "Systemic risk measures: the simpler the better?," BIS Papers chapters,in: Bank for International Settlements (ed.), Macroprudential regulation and policy, volume 60, pages 29-35 Bank for International Settlements.
- Peña Sánchez de Rivera, Juan Ignacio & Rodríguez-Moreno, María, 2010. "Systemic risk measures: the simpler the better," DEE - Working Papers. Business Economics. WB 9291, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
- 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).
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- 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
Keywords
Subprime crisis; Term auction facility; Libor–OIS spread; Commercial paper spread; Jumbo spread;JEL classification:
- G1 - Financial Economics - - General Financial Markets
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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