Effects of Central Bank Intervention on the Interbank Market During the Subprime Crisis

• 成果类型: Article
• 署名作者: Brunetti, Celso; di Filippo, Mario; Harris, Jeffrey H.
• 署名单位: Johns Hopkins University; Catholic University of the Sacred Heart; University of Delaware
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhq123
• 发表日期: 2011
• 页码: 2053
• 关键词: time price discovery; foreign-exchange; monetary-policy; liquidity; announcements; volatility; STOCK; MODEL

摘要

We explore whether central bank intervention improves liquidity in the interbank market during the current subprime crisis with unique trade and quote data from the e-MID, the only regulated electronic interbank market in the world. Central bank intervention consistently creates greater uncertainty in the interbank market. Prior to the crisis, the cover-to-bid ratio effectively conveys good and bad news from the central bank, but this link is broken during the crisis, suggesting that standard (and special) interventions that do not specifically target interbank asymmetric information fail to improve market liquidity. Our results suggest that the central bank should release stress tests for individual banks, provide interbank loan guarantees, or engage in direct asset purchases rather than simply providing more capital when counterparty risk poses systemic risk to the interbank market.