Intro -- Contents -- I. INTRODUCTION -- II. THEORETICAL UNDERPINNINGS -- III. EMPIRICAL RESULTS -- A. A Simple Model of Inflation -- B. VAR Models -- C. Variable Coefficient Models -- D. Using Subcomponents of CPI -- IV. CONCLUSIONS -- References.

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...