The interrelationship between monetary policy and the interbank money market during the financial crisis:
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| Main Author: | |
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| Format: | Thesis Book |
| Language: | English |
| Published: |
2011
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| Subjects: | |
| Online Access: | Volltext Inhaltsverzeichnis |
| Physical Description: | XII, 147 S. graph. Darst. |
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MARC
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| 100 | 1 | |a Abbassi, Puriya |e Verfasser |0 (DE-588)1016518803 |4 aut | |
| 245 | 1 | 0 | |a The interrelationship between monetary policy and the interbank money market during the financial crisis |c von Puriya Abbassi |
| 264 | 1 | |c 2011 | |
| 300 | |a XII, 147 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 502 | |a Mainz, Univ., Diss., 2011 | ||
| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
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| _version_ | 1804148734039162880 |
|---|---|
| adam_text | CONTENTS
LIST
OF
FIGURES
..............................................................................................
VII
LIST
OF
TABLES
..............................................................................................
IX
1
INTRODUCTION
1
2
THE
DETERMINANTS
OF
MARKET
DEMAND
FOR
LIQUIDITY
10
2.1
INTRODUCTION
........................................................................................
10
2.2
EUROSYSTEM
S
INSTITUTIONAL
FRAMEWORK
............................................
15
2.3
IDENTIFICATION
OF
A
MARKET
DEMAND
FUNCTION
...................................
18
2.3.1
DATA
DESCRIPTION:
BANKS
BIDDING
BEHAVIOR
......................
18
2.3.2
AN
EMPIRICAL
MODEL
FOR
AGGREGATE
LIQUIDITY
DEMAND
.
.
19
2.3.3
IDENTIFICATION
OF
A
MARKET
DEMAND
FUNCTION:
EMPIRICAL
RESULTS
.................................................................................
24
2.3.4
DISCUSSION
OF
RESULTS
............................................................
26
2.4
THE
DETERMINANTS
OF
MARKET
DEMAND
FOR
LIQUIDITY
......................
28
2.4.1
DATA
DESCRIPTION
..................................................................
28
2.4.2
VARIABLES
AND
HYPOTHESES
...................................................
29
2.4.3
EMPIRICAL
MODEL
..................................................................
38
2.5
CONCLUSION
........................................................................................
44
2.6
APPENDIX
TO
CHAPTER
1
.....................................................................
47
III
2.6.1
GOODNESS
OF
FIT
......................................................................
47
2.6.2
ALTERNATIVE
ILLUSTRATION
OF
THE
GOODNESS
OF
FIT
....................
48
2.6.3
ALTERNATIVE
SPECIFICATION:
RESULTS
WITH
REPO
RATES
....
49
2.6.4
MARGINAL
DEMAND
AND
ELASTICITY
ALONG
A
MARKET
BID
FUNCTION
..............................................................................
51
2.6.5
TIMES
SERIES
CHARACTERISTICS
AND
CORRELATION
....................
53
2.6.6
STRUCTURAL
BREAK
TEST
.............................................................
54
3
MONETARY
TRANSMISSION
RIGHT
FROM
THE
START:
THE
RESPONSE
OF
THE
MONEY
MARKET
TO
THE
ECB
S
MAIN
REFINANCING
RATES
57
3.1
INTRODUCTION
........................................................................................
57
3.2
THE
ROLE
OF
MRO
AUCTIONS
IN
THE
ECB
S
OPERATIONAL
FRAMEWORK
59
3.2.1
MONETARY
POLICY
IMPLEMENTATION
......................................
59
3.2.2
OVERNIGHT
RATE
DYNAMICS,
MRO
RESULTS,
AND
THE
MARTIN
GALE
HYPOTHESIS
.......................................................
61
3.2.3
MEASURING
THE
MONEY
MARKET
RESPONSE
TO
AN
MRO
AUC
TION
OUTCOME
...........................................................
63
3.3
THE
MRO
AUCTION
OUTCOMES:
VARIABLES
AND
PREDICTIONS
.............
65
3.4
THE
RESPONSE
OF
MONEY
MARKET
RATES
TO
MRO
AUCTION
OUTCOMES
69
3.4.1
THE
CONNECTION
BETWEEN
THE
EONIA
AND
THE
MRO
RATES
BEFORE
THE
FINANCIAL
CRISIS
..................................................
70
3.4.2
THE
DISCONNECTION
BETWEEN
THE
EONIA
AND
THE
MRO
RATES
DURING
THE
FINANCIAL
CRISIS
...................................................
72
3.4.3
MRO
AUCTIONS
AND
LONGER-TERM
INTEREST
RATES
DURING
THE
CRISIS
..............................................................................
73
3.5
CONCLUSION
.......................................................................................
76
IV
3.6
APPENDIX
TO
CHAPTER
2
.....................................................................
78
3.6.1
STRUCTURAL
BREAK
TEST
............................................................
78
3.6.2
FORECAST
EQUATION
OF
NUMBER
OF
BIDDERS
.........................
79
4
THE
EFFECTIVENESS
OF
MONETARY
POLICY
IN
STEERING
MONEY
MARKET
RATES
DURING
THE
FINANCIAL
CRISIS
80
4.1
INTRODUCTION
........................................................................................
80
4.2
EURIBOR
RATE
AND
THE
MONETARY
TRANSMISSION
MECHANISM
.............
83
4.3
EXPECTATIONS
HYPOTHESIS
..................................................................
84
4.4
VARIABLES
AND
PREDICTIONS
..................................................................
85
4.4.1
MARKET
EXPECTATIONS
............................................................
85
4.4.2
RISK
MEASURES
......................................................................
87
4.4.3
CENTRAL
BANK
MEASURES
.........................................................
89
4.5
MODELING
THE
EURIBOR
DYNAMICS
......................................................
91
4.6
EFFECTIVENESS
OF
MONETARY
POLICY:
EMPIRICAL
RESULTS
....................
93
4.6.1
RESPONSE
OF
THE
EURIBOR
RATE
TO
ITS
DETERMINANTS
..............
93
4.6.2
UNCERTAINTY
IN
MARKET
EXPECTATIONS
....................................
99
4.7
CONCLUSION
...........................................................................................
101
4.8
APPENDIX
TO
CHAPTER
3
........................................................................
103
4.8.1
TESTING
THE
EXPECTATIONS
HYPOTHESIS
......................................
103
4.8.2
UNIT
ROOT
TESTS
........................................................................
104
4.8.3
ITRAXX
MARKET
.........................................................................
105
4.8.4
STRUCTURAL
BREAK
TEST
...............................................................
107
V
5
INTEREST
RATE
DYNAMICS
AND
MONETARY
POLICY
IMPLEMENTATION
IN
SWITZERLAND
109
5.1
INTRODUCTION
..........................................................................................
109
5.2
THREE-MONTH
RATE
TARGETING
..............................................................
ILL
5.2.1
A
FIRST
LOOK
AT
THE
DATA
........................................................
112
5.2.2
RATE
EXPECTATIONS
AND
THE
TARGET
CORRIDOR
............................
113
5.2.3
THE
REPO
AUCTIONS
OF
THE
SNB
AND
THE
REPO
RATE
....
116
5.2.4
INTEREST
RATE
TARGETING
IN
THE
FINANCIAL
CRISIS:
SNB
AND
ECB
..........................................................................................
119
5.3
EMPIRICAL
RESULTS
................................................................................
121
5.3.1
THE
DYNAMICS
OF
THE
POLICY
INSTRUMENT
...............................
121
5.3.2
THE
DYNAMICS
OF
THE
OPERATIONAL
TARGET
...............................
124
5.3.3
INTEREST
RATE
MANAGEMENT
OF
THE
ECB
..................................
127
5.4
CONCLUSION
..........................................................................................
129
5.5
APPENDIX
TO
CHAPTER
4
.......................................................................
130
5.5.1
FIGURES
....................................................................................
130
5.5.2
TABLES
.......................................................................................
131
6
CONCLUSION
134
REFERENCES
138
VI
|
| any_adam_object | 1 |
| author | Abbassi, Puriya |
| author_GND | (DE-588)1016518803 |
| author_facet | Abbassi, Puriya |
| author_role | aut |
| author_sort | Abbassi, Puriya |
| author_variant | p a pa |
| building | Verbundindex |
| bvnumber | BV039804637 |
| collection | ebook |
| ctrlnum | (DE-599)DNB1017000433 |
| dewey-full | 332.46 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.46 |
| dewey-search | 332.46 |
| dewey-sort | 3332.46 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| spelling | Abbassi, Puriya Verfasser (DE-588)1016518803 aut The interrelationship between monetary policy and the interbank money market during the financial crisis von Puriya Abbassi 2011 XII, 147 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Mainz, Univ., Diss., 2011 (DE-588)4113937-9 Hochschulschrift gnd-content Erscheint auch als Online-Ausgabe urn:nbn:de:hebis:77-29016 http://ubm.opus.hbz-nrw.de/volltexte/2011/2901/ kostenfrei Volltext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024665030&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Abbassi, Puriya The interrelationship between monetary policy and the interbank money market during the financial crisis |
| subject_GND | (DE-588)4113937-9 |
| title | The interrelationship between monetary policy and the interbank money market during the financial crisis |
| title_auth | The interrelationship between monetary policy and the interbank money market during the financial crisis |
| title_exact_search | The interrelationship between monetary policy and the interbank money market during the financial crisis |
| title_full | The interrelationship between monetary policy and the interbank money market during the financial crisis von Puriya Abbassi |
| title_fullStr | The interrelationship between monetary policy and the interbank money market during the financial crisis von Puriya Abbassi |
| title_full_unstemmed | The interrelationship between monetary policy and the interbank money market during the financial crisis von Puriya Abbassi |
| title_short | The interrelationship between monetary policy and the interbank money market during the financial crisis |
| title_sort | the interrelationship between monetary policy and the interbank money market during the financial crisis |
| topic_facet | Hochschulschrift |
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