On the Effectiveness of the Federal Reserve's New Liquidity Facilities

By Tao Wu. 2008

113 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/b4d3fbd3eff5bce711e6effa54ea16244d8e0d36

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Citations in the corpus

A Black Swan in the Money Market (2008, unknown): “For this specification, we find small negative and significant effects of the TAF on the Libor-OIS spread, with the estimated effect of the TAF 10 Brian Sack and Laurence Meyer (2008) analyze a similar specification and obtain results consistent with Wu (2008).”
Macroeconomic Effects of Unconventional Monetary Policy in the Euro Area (2011, unknown): “…for the Euro area 2A number of studies have examined the e ects of a set of liquidity measures on money market interest rate spreads in the aftermath of the crisis, but not the ultimate impact on the real economy (e.g. Wu 2008; Taylor and Williams 2009; Christensen, Lopez and Rudebusch 2009).”
Liquidity Risk Premia in Unsecured Interbank Money Markets (2009, unknown): “Anecdotal evidence suggests in this context that term unsecured money market volumes declined signi cantly with the start of the turbulences.”
The 2007 Subprime Market Crisis Through the Lens of European Central Bank Auctions for Short-Term Funds (2011, unknown): “In fact, some papers (e.g., Wu 2008) argue that the increased spread is due to the liquidity risk stemming from increased uncertainty about future liquidity needs of each bank, which in turn increases banks’ reluctance to lend longterm.”
Monetary Policy in Exceptional Times (2012, unknown): “7 See Taylor and Williams (2008), McAndrews, et al. (2008), Wu (2008) and Christensen, et al. (2009).”
Unconventional monetary policies: a re-appraisal (2018, background): “…Libor movements (bank risk premium changes vs liquidity premium changes); counterfactual analysis Libor rates 70 bp reduction in Libor level3 Wu (2008) TAF Event study Libor-OIS spread 40 bp reduction in spread4 Thornton (2010) TAF Event study Libor-Treasury spread No significant TAF…”
Monetary Policy Strategy: Lessons from the Crisis (2011, unknown): “…Sarkar and Wang (2008) find that announcements about TAF did significantly lower credit spreads, and other research supports the conclusion that the TAF and other credit facilities helped lower interest rates (Wu, 2008, Christensen, Lopez and Rudebusch, 2009, and Sarkar and Shrader, 2010).”