This setting lets you change the way you view articles. You can choose to have articles open in a dialog window, a new tab, or directly in the same window.
Open in Dialog
Open in New Tab
Open in same window
Open in New Tab
Open in same window
American Economic Journal: Macroeconomics: Vol. 1 No. 1 (January 2009)
AEJ: Macro Volume. 1, Issue 1 | 
Previous ArticleNext Article
Sign up for Email Alerts Follow us on Twitter Subscription Information
(Institutional Administrator Access)
AEJ: Macro Forthcoming Articles
Full-text Article
Download Data Set (302.09 KB)
View Comments on This Article (0) | Login to post a comment
Previous ArticleNext Article
Expand
Quick Tools:
Print Article Summary Email Link to this Article Export CitationSign up for Email Alerts Follow us on Twitter Subscription Information
(Institutional Administrator Access)
Explore:
AEJ: Macro Forthcoming Articles
A Black Swan in the Money Market
Article Citation
Taylor, John B., and
John C. Williams. 2009. "A Black Swan in the Money Market."
American Economic Journal: Macroeconomics,
1(1): 58-83.
DOI: 10.1257/mac.1.1.58
DOI: 10.1257/mac.1.1.58
Abstract
The recent financial crisis saw a dramatic and persistent jump in
interest rate spreads between overnight federal funds and longer -
term interbank loans. The Fed took several actions to reduce these
spreads including the creation of the Term Auction Facility (TAF). The
effectiveness of these policies depends on the cause of the increased
spreads such as counterparty risk, liquidity, or other factors. Using
a no-arbitrage pricing framework and various measures of risk, we
find robust evidence that increased counterparty risk contributed to
the rise in spreads but do not find robust evidence that the TAF had
a significant effect on spreads. (JEL E43, E44, E52, G21)
Article Full-Text Access
Full-text Article
Additional Materials
Download Data Set (302.09 KB)
Authors
Taylor, John B. (Stanford U)
Williams, John C. (Federal Reserve Bank of San Francisco)
Williams, John C. (Federal Reserve Bank of San Francisco)
JEL Classifications
E43: Determination of Interest Rates; Term Structure of Interest Rates
E44: Financial Markets and the Macroeconomy
E52: Monetary Policy
G21: Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
E44: Financial Markets and the Macroeconomy
E52: Monetary Policy
G21: Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
Comments
View Comments on This Article (0) | Login to post a comment
