Do Central Bank Liquidity Facilities Affect Interbank Lending Rates?
研究了2007年金融危机初期央行流动性便利对期限银行间拆借利率的影响，通过六因子无套利模型发现这些措施降低了银行间利率中的流动性溢价。
In response to the global financial crisis that started in August 2007, central banks provided extraordinary amounts of liquidity to the financial system. To investigate the effect of central bank liquidity facilities on term interbank lending rates near the start of the crisis, we estimate a six-factor arbitrage-free model of U.S. Treasury yields, financial corporate bond yields, and term interbank rates. This model can account for fluctuations in the term structure of credit and liquidity spreads observed in the data. A significant shift in model estimates after the announcement of the liquidity facilities suggests that these central bank actions did help lower the liquidity premium in term interbank rates.