Identifying the effects of a lender of last resort on financial markets: Lessons from the founding of the fed

• 成果类型: Article
• 署名作者: Bernstein, Asaf; Hughson, Eric; Weidenmier, Marc D.
• 署名单位: Claremont Colleges; Claremont Graduate University; Claremont McKenna College; Claremont Colleges; Harvey Mudd College; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2010.04.001
• 发表日期: 2010
• 页码: 40-53

摘要

We use the founding of the Federal Reserve to identify the effects of a lender of last resort. We examine stock return and interest rate volatility during September and October, when markets were vulnerable because of financial stringency from the harvest. Stock volatility fell by 40% and interest rate volatility by more than 70% following the monetary regime change. The drop is insignificant if major panic years are omitted from the analysis, however. Because business cycle downturns occurred in the same year as financial crises, our results suggest that the existence of the Federal Reserve reduced liquidity risk. (C) 2010 Elsevier B.V. All rights reserved.