Christensen, Jens H. E.; Lopez, Jose A.; Rudebusch, Glenn D. - Federal Reserve Bank of San Francisco - 2009
liquidity to the financial system. To investigate the effect of central bank liquidity facilities on term interbank lending … interbank rates. This model can account for fluctuations in the term structure of credit risk and liquidity risk. A significant … shift in model estimates after the announcement of the liquidity facilities suggests that these central bank actions did …