How to stop a herd of running bears? : market response to policy initiatives during the global financial crisis /

This paper examines the impact of macroeconomic and financial sector policy announcements 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 int...

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Bibliographic Details
Main Author: Aït-Sahalia, Yacine (Author)
Corporate Author: International Monetary Fund Research Department
Format: Book
Language:English
Published: [Washington, D.C.] : International Monetary Fund, Research Dept., 2009
Series:IMF working paper ; WP/09/204
Subjects:
USA
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245 0 0 |a How to stop a herd of running bears? :  |b market response to policy initiatives during the global financial crisis /  |c Yacine Aït-Sahalia [and others] 
260 |a [Washington, D.C.] :  |b International Monetary Fund, Research Dept.,  |c 2009 
300 |a 1 online resource (50 pages) :  |b color illustrations 
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490 1 |a IMF working paper ;  |v WP/09/204 
500 |a Title from title screen (viewed Nov. 25, 2009) 
504 |a Includes bibliographical references (pages 41-44) 
505 0 |a Cover Page; Title Page; Copyright Page; Contents; Figures; Tables; I. Introduction; 1. Residential Investment (y-o-y real growth rate); 2. House Price Indices (y-o-y percent growth rate); 3. 3-Month T-Bill Rates in Spain and in the EMU; 4. Number of Households and Population. Annual Growth Rates; II. The Model; A. Households; B. Producers; B.1 Final Goods Producers; B.2 Intermediate Goods Producers; C. Closing the Model; C.1 Market Clearing Conditions; C.2 Monetary Policy Rule; III. Bayesian Estimation; A. Data; B. Priors and Posteriors; 1. Calibrated parameters 
505 8 |a 2a. Prior and Posterior Disributions5. Priors (black solid line) and Posteriors (red dashed line); 6. Priors (black solid line) and Posteriors (red dashed line); 2b. Prior and Posterior Disributions; C. Implications of the Model: Posterior Second Moments and Impulse Responses; C.1 Second Moments; 3a. Second Moments in Spain; 3b. Second Moments in the rest of EMU; 4. Variance Decomposition (in percent); C.2 Model Simulation; 7. Model Simulation with Smoothed Shocks. Percent Contribution of Each Shock to Overall Volatility; C.3 Impulse Responses 
505 8 |a 8. Posterior Impulse Responses (mean and 95% C.I.) to a Technology Shock in the Housing Sector9. Posterior Impulse Responses (mean and 95% C.I.) to a Preference Shock in the Housing Sector; 10. Posterior Impulse Responses (mean and 95% C.I.) to a Monetary Policy Shock in the Euro Area; IV. Robustness: The Role of Financial Frictions and Labor Market Rigidities; 5. Model Comparison; V. Conclusions; References; Footnotes 
506 |3 Use copy  |f Restrictions unspecified  |2 star  |5 MiAaHDL 
520 3 |a This paper examines the impact of macroeconomic and financial sector policy announcements 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 
533 |a Electronic reproduction  |b [S.l.] :  |c HathiTrust Digital Library,  |d 2011.  |5 MiAaHDL 
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546 |a English 
583 1 |a digitized  |c 2011  |h HathiTrust Digital Library  |l committed to preserve  |2 pda  |5 MiAaHDL 
650 0 |a Financial crises 
650 0 |a Interbank market 
650 0 |a Liquidity (Economics) 
650 0 |a Monetary policy 
650 0 |a Subprime mortgage loans 
650 7 |a EU-Staaten  |2 stw 
650 7 |a Financial crises  |2 fast 
650 7 |a Finanzmarktkrise  |2 stw 
650 7 |a Großbritannien  |2 stw 
650 7 |a Interbank market  |2 fast 
650 7 |a Internationaler Finanzmarkt  |2 stw 
650 7 |a Japan  |2 stw 
650 7 |a Liquidity (Economics)  |2 fast 
650 7 |a Monetary policy  |2 fast 
650 7 |a Subprime mortgage loans  |2 fast 
650 7 |a USA  |2 stw 
650 7 |a Wirkungsanalyse  |2 stw 
650 7 |a Wirtschaftspolitik  |2 stw 
655 4 |a Electronic books 
655 7 |a Electronic books  |2 gtlm 
700 1 |a Aït-Sahalia, Yacine,  |e author 
710 2 |a International Monetary Fund  |b Research Department. 
776 0 8 |i Print version:  |t How to stop a herd of running bears?  |d [Washington, D.C.] : International Monetary Fund, Research Dept., 2009  |w (OCoLC)528695205 
830 0 |a IMF working paper ;  |v WP/09/204 
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