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The interbank market after August 2007 : what has changed, and why?
Angelini, Paolo; Nobili, Andrea; Picillo, Cristina - In: Financial supervision in an uncertain world : papers of …, (pp. 89-108). 2010
Persistent link: https://www.econbiz.de/10009552040
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Volatility in the federal funds market and money market spreads during the financial crisis
Carpenter, Seth B.; Demiralp, Selva; Senyuz, Zeynep - In: Journal of financial stability 25 (2016), pp. 225-233
Persistent link: https://www.econbiz.de/10011704911
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The scarcity effect of quantitative easing on repo rates : evidence from the euro area
Arrata, William; Nguyen, Benoit; Rahmouni-Rousseau, Imene; … - 2018
Most short-term interest rates in the Euro area are below the European Central Bank deposit facility rate, the rate at which the central bank remunerates banks' excess reserves. This unexpected development coincided with the start of the Public Sector Purchase Program (PSPP). In this paper, we...
Persistent link: https://www.econbiz.de/10011978433
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Monetary policy after the crisis : a joint publication with the National Bank of Poland
Gnan, Ernest (ed.); Kokoszcynski, Ryszard (ed.);  … - Conference Monetary Policy after the Crisis <2011, Warschau>; … - 2011
On 4 March 2011, SUERF – The European Money and Finance Forum and the National Bank of Poland jointly organised a conference on the theme of: "Monetary Policy after the Crisis". Following a call for papers with a large number of submissions, the scientific committee selected 9 papers, which...
Persistent link: https://www.econbiz.de/10011710723
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Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach
Beirne, John - 2010
In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market … activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by …
Persistent link: https://www.econbiz.de/10013141038
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Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach
Beirne, John - 2013
In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market … activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by …
Persistent link: https://www.econbiz.de/10013094544
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Interest rate pass-through in the Euro area during the financial crisis : a multivariate regime-switching approach
Aristei, David; Viera-Gallo, Manuela - In: Journal of policy modeling : JPMOD ; a social science … 36 (2014) 2, pp. 273-295
Persistent link: https://www.econbiz.de/10010360907
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Long-run retail interest rate pass-through in the euro area : the effect of the financial crisis
Mansour, Manel; Heller, David; Labidi, Moez; Lahiani, Amine - In: The journal of applied business research 31 (2015) 5, pp. 1733-1746
Persistent link: https://www.econbiz.de/10011412420
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Have too-big-to-fail expectations diminished? : evidence from the European overnight interbank market
Tölö, Eero; Jokivuolle, Esa; Virén, Matti E. E. - In: Journal of financial services research 60 (2021) 1, pp. 25-54
Persistent link: https://www.econbiz.de/10012618398
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Banks' strategies and cost of money : effects of the financial crisis on the European electronic overnight interbank market
Iori, Giulia; Politi, Mauro; Germano, Guido; Gabbi, … - In: Journal of financial management, markets and institutions 3 (2015) 2, pp. 179-202
Persistent link: https://www.econbiz.de/10011951447