From Turmoil to Crisis: Dislocations in the FX Swap Market Before and After the Failure of Lehman Brothers

By N. Baba, Frank Packer. 2009

239 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/395366ccd40bdd0b829efcddaed7195b8cb1af99

Citations in the corpus

• Foreign Exchange Market Structure, Players and Evolution (2012, unknown): “Collapsing swap volumes following the Lehman Brothers bankruptcy in late 2008 triggered a rapid expansion of central bank swap activity as authorities tried to stabilize the world banking system (Baba and Packer, 2009; Melvin and Taylor, 2009).”
• The Financial Stress Index: Identification of Systemic Risk Conditions (2011, unknown): “Baba and Packer [42] find that creditworthiness of financial institutions of the US and Europe was negatively related to CCCCSS .”
• The US Dollar Shortage in Global Banking and the International Policy Response (2009, unknown): “The related dislocations in FX swap markets made it even more expensive to obtain US dollars via currency swaps (Baba and Packer (2009a)), as European banks’ US dollar funding requirements exceeded other entities’ funding needs in other currencies.”
• Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity (2011, unknown): “The first is Frenkel and Levich (1975, 1977), followed more recently by papers focusing on the financial crisis such as Baba, Packer, and Nagano (2008), Baba and Packer (2009b, 2009a), as well as Coffey, Hrung, Nguyen, and Sarkar (2009), Genberg, Hui, Wong, and Chung (2009) and Jones (2009).”
• Covered interest parity lost: understanding the cross-currency basis (2016, unknown): “These episodes included the Japanese banking crisis (the “Japan premium”, Hanajiri (1999)); the onset of the GFC in 2007–08 (eg Baba et al (2008), Baba and Packer (2009), Coffey et al (2009), Mancini-Griffoli and Ranaldo (2012), Levich (2012)); and the euro area sovereign debt crisis in 2011–12 (McC”
• Market response to policy initiatives during the global financial crisis (2012, unknown): “…policies Action and inaction, system-wide and ad hoc measures Database available at www.imf.org Immediate market reaction to policy announcements Positive reaction may be self-fulfilling and indicative of policy success in calming markets Simple and parsimonious event study, with extensive…”
• Unconventional monetary policies: a re-appraisal (2018, unknown): “…(2008) TAF Event study Libor-OIS spread 40 bp reduction in spread4 Thornton (2010) TAF Event study Libor-Treasury spread No significant TAF impact5 Baba and Packer (2009) RCA Principal component analysis; time series regression FX swap deviations from short-term CIP USD auctions and commitment to…”