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The Effect of the Term Auction Facility on the London Inter-Bank Offered RateJames McAndrewsFederal Reserve Bank of New York Asani SarkarFederal Reserve Bank of New York Zhenyu WangKelley School of Business, Indiana University July 2008 FRB of New York Staff Report No. 335 Abstract: This paper examines the effects of the Federal Reserve's Term Auction Facility (TAF) on the London Inter-Bank Offered Rate (LIBOR). The particular question investigated is whether the announcements and operations of the TAF are associated with downward shifts of the LIBOR; such an association would provide one indication of the efficacy of the TAF in mitigating liquidity problems in the interbank funding market. The empirical results suggest that the TAF has helped to ease strains in this market.
Number of Pages in PDF File: 27 Keywords: LIBOR, liquidity, money markets, Term Auction Facility JEL Classification: G10, G12, G18, G19 working papers seriesDate posted: July 28, 2008Suggested CitationContact Information
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