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- W1779254330 abstract "We analyze the reaction of the spread between the overnight rate and the target rate to Central Banks’ instruments during normal time and the Subprime crisis. By using US, UK and Euro area data, we estimate the dynamic of these spread with an asymmetric EGARCH model. Our results reveal that most of the modifications of these instruments have reduced the volatility of the spreads. In situation marked by liquidity risks, as during the first phase of this crisis, these Banks managed to control the overnight rate. Conversely, in situation marked with credit risks, as after the collapse of Lehman Brothers, the control of this rate was harder even when unconventional measures alleviated the pressure on markets and reduce the volatility of the spreads." @default.
- W1779254330 created "2016-06-24" @default.
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- W1779254330 date "2012-01-01" @default.
- W1779254330 modified "2023-09-25" @default.
- W1779254330 title "Reaction of Overnight Rate to Its Determinants Under 'Normal' Situation and During the Financial Turmoil of 2007-2009" @default.
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- W1779254330 doi "https://doi.org/10.2139/ssrn.2031628" @default.
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