How to Stop a Herd of Running Bears? Market Response to Policy Initiatives during the Global Financial Crisis

Jochen Andritzky, Andreas Jobst, Sylwia Barbara Nowak, Aït-Sahalia, Yacine and Natalia T. Tamirisa

No 09/204, IMF Working Papers from International Monetary Fund

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.

Keywords: Banks; Capital markets; Central banks; Data analysis; Databases; Financial crisis; Financial sector; Monetary policy; Spillovers; Statistics (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba
Date: 2009-09-21
View list of references

Downloads: (external link)
http://www.imf.org/external/pubs/ft/wp/2009/wp09204.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:imf:imfwpa:09/204

Ordering information: This working paper can be ordered from
http://www.imf.org/external/pubs/pubs/ord_info.htm

Access Statistics for this paper

More papers in IMF Working Papers from International Monetary Fund
Address: International Monetary Fund, Washington, DC USA
Contact information at EDIRC.
Series data maintained by Christopher F. Baum ().