TY  - JOUR
AU  - Aït-Sahalia,Yacine
AU  - Andritzky,Jochen
AU  - Jobst,Andreas
AU  - Nowak,Sylwia
AU  - Tamirisa,Natalia
TI  - Market Response to Policy Initiatives during the Global Financial Crisis
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 15809
PY  - 2010
Y2  - March 2010
UR  - http://www.nber.org/papers/w15809
L1  - http://www.nber.org/papers/w15809.pdf
N1  - Author contact info:
Yacine Ait-Sahalia
Department of Economics
Fisher Hall
Princeton University
Princeton, NJ 08544-1021
Tel: 609/258-4015
Fax: 609/258-0719
E-Mail: yacine@princeton.edu

Jochen Andritzky
Monetary and Capital Markets
International Monetary Fund
700 19th Street N.W.
Washington, DC 20431
E-Mail: jandritzky@imf.org

Andreas Jobst
Monetary and Capital Markets
International Monetary Fund
700 19th Street N.W
Washington, DC 20431
E-Mail: ajobst@imf.org

Sylwia Nowak
Monetary and Capital Markets
International Monetary Fund
700 19th Street N.W.
Washington, DC 20431
E-Mail: snowak@imf.org

Natalia Tamirisa
International Monetary Fund
E-Mail: NTamirisa@imf.org
AB  - This paper examines the impact of macroeconomic and financial sector policy announcements in the United States, the United Kingdom, the euro area, and Japan 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.
ER  -