NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Natalia Tamirisa

International Monetary Fund

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NBER Working Papers and Publications

March 2010Market Response to Policy Initiatives during the Global Financial Crisis
with Yacine Aït-Sahalia, Jochen Andritzky, Andreas Jobst, Sylwia Nowak: w15809
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.

Published: Aït-Sahalia, Yacine & Andritzky, Jochen & Jobst, Andreas & Nowak, Sylwia & Tamirisa, Natalia, 2012. "Market response to policy initiatives during the global financial crisis," Journal of International Economics, Elsevier, vol. 87(1), pages 162-177. citation courtesy of

May 2007Malaysian Capital Controls: Macroeconomics and Institutions
with Simon Johnson, Kalpana Kochhar, Todd Mitton
in Capital Controls and Capital Flows in Emerging Economies: Policies, Practices and Consequences, Sebastian Edwards, editor
 
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