Replication data for: A Black Swan in the Money Market
Principal Investigator(s): View help for Principal Investigator(s) John B. Taylor; John C. Williams
Version: View help for Version V1
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Project Citation:
Taylor, John B., and Williams, John C. Replication data for: A Black Swan in the Money Market. Nashville, TN: American Economic Association [publisher], 2009. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114040V1
Project Description
Summary:
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The recent financial crisis saw a dramatic and persistent jump in
interest rate spreads between overnight federal funds and longer -
term interbank loans. The Fed took several actions to reduce these
spreads including the creation of the Term Auction Facility (TAF). The
effectiveness of these policies depends on the cause of the increased
spreads such as counterparty risk, liquidity, or other factors. Using
a no-arbitrage pricing framework and various measures of risk, we
find robust evidence that increased counterparty risk contributed to
the rise in spreads but do not find robust evidence that the TAF had
a significant effect on spreads. (JEL E43, E44, E52, G21)
Scope of Project
JEL Classification:
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E43 Interest Rates: Determination, Term Structure, and Effects
E44 Financial Markets and the Macroeconomy
E52 Monetary Policy
G21 Banks; Depository Institutions; Micro Finance Institutions; Mortgages
E43 Interest Rates: Determination, Term Structure, and Effects
E44 Financial Markets and the Macroeconomy
E52 Monetary Policy
G21 Banks; Depository Institutions; Micro Finance Institutions; Mortgages
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