A Black Swan in the Money Market
研究金融危机期间隔夜联邦基金与长期银行间贷款利差飙升的原因，发现交易对手风险是主因，但美联储的定期拍卖工具（TAF）效果不显著。
The recent financial crisis saw a dramatic and persistent jump in interest rate spreads between overnight federal funds and longer-term interbank loans. The Fed took several actions to reduce these spreads including the creation of the Term Auction Facility (TAF). The effectiveness of these policies depends on the cause of the increased spreads such as counterparty risk, liquidity, or other factors. Using a no-arbitrage pricing framework and various measures of risk, we find robust evidence that increased counterparty risk contributed to the rise in spreads but do not find robust evidence that the TAF had a significant effect on spreads.