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dc.contributor.authorSyrstad, Olav
dc.description.abstractThis paper investigates the effectiveness of the Federal Reserve's Term Auction Facility (TAF) in alleviating the liquidity shortage in USD and reducing the spread between the 3-month Libor rate and the expected policy rate. I construct a proxy for the 3-month liquidity risk premium based on data from the FX forward market which enables me to (i) decompose the Libor spread into a liquidity premium and a credit premium, and (ii) test the effectiveness of the TAF in reducing the liquidity premium in money market spreads. I find that long-term (84-day) TAF auctions were effective in reducing the 3-month liquidity premium. Furthermore, a reduction in the liquidity premium led to a fall in the 3-month Libor spread in USD. Credit risk, however, seems to have been a rather modest factor in explaining the increase in the Libor spread during the financial crisis.nb_NO
dc.publisherNorges Banknb_NO
dc.relation.ispartofseriesWorking Papers;7/2014
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Internasjonal*
dc.subjectJEL: E41nb_NO
dc.subjectJEL: E43nb_NO
dc.subjectJEL: E51nb_NO
dc.subjectLIBOR–OIS spreadnb_NO
dc.subjectterm auction facilitynb_NO
dc.subjectliquidity premiumnb_NO
dc.subjectcredit premiumnb_NO
dc.titleThe Impact of the Term Auction Facility on the Liquidity Risk Premium and Unsecured Interbank Spreadsnb_NO
dc.typeWorking papernb_NO
dc.subject.nsiVDP::Samfunnsvitenskap: 200::Økonomi: 210::Samfunnsøkonomi: 212nb_NO

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Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal
Med mindre annet er angitt, så er denne innførselen lisensiert som Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal