| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w13943 |
| 来源ID | Working Paper 13943 |
| A Black Swan in the Money Market | |
| John B. Taylor; John C. Williams | |
| 发表日期 | 2008-04-16 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | At the center of the financial market crisis of 2007-2008 was a highly unusual jump in spreads between the overnight inter-bank lending rate and term London inter-bank offer rates (Libor). Because many private loans are linked to Libor rates, the sharp increase in these spreads raised the cost of borrowing and interfered with monetary policy. The widening spreads became a major focus of the Federal Reserve, which took several actions -- including the introduction of a new term auction facility (TAF) --- to reduce them. This paper documents these developments and, using a no-arbitrage model of the term structure, tests various explanations, including increased risk and greater liquidity demands, while controlling for expectations of future interest rates. We show that increased counterparty risk between banks contributed to the rise in spreads and find no empirical evidence that the TAF has reduced spreads. The results have implications for monetary policy and financial economics. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy |
| URL | https://www.nber.org/papers/w13943 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/571615 |
| 推荐引用方式 GB/T 7714 | John B. Taylor,John C. Williams. A Black Swan in the Money Market. 2008. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w13943.pdf（356KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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