An assessment of the Bank of Canada's term PRA facility

North American Journal of Economics and Finance

Volumn 23, Issue 1, 2012, Pages 123-143

  Enenajor, Emanuella ^a,b   Sebastian, Alex ^a   Witmer, Jonathan ^a  

^a BANK OF CANADA   (Canada)

^b CIBC World Markets   (Canada)

Author keywords

Central bank liquidity facilities; Interbank spreads

Indexed keywords

EID: 84855481375     PISSN: 10629408     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.najef.2011.11.005     Document Type: Article

References (14)

1. Abbassi, P., & Schnabel, I. (2009). Contagion among interbank money markets during the subprime crisis. Working paper.
2. Armantier O., Sbaï E. Estimation and comparison of treasury auction formats when bidders are asymmetric. Journal of Applied Econometrics 2006, 21:745-779.
3. Asquith P., Mullins D. The impact of initiating dividend payments on shareholders' wealth. Journal of Business 1983, 56(1):77-96.
4. Baba N., Packer F. From turmoil to crisis: Dislocations in the FX swap market before and after the failure of Lehman Brothers. Journal of International Money and Finance 2009, 14(5):1350-1374.
5. Brown S., Warner J. Using daily stock returns: The case of event studies. Journal of Financial Economics 1985, 14(1):3-31.
6. Chen H., Noronha G., Singal V. The price response to S&P 500 index additions and deletions: Evidence of asymmetry and a new explanation. Journal of Finance 2004, 59(4):1901-1929.
7. Christensen J., Lopez J., Rudebusch G. Do central bank liquidity operations affect interbank lending rates?. Federal Reserve Bank of San Francisco Working Paper 2009-13 2009.
8. MacKinlay A.C. Event studies in economics and finance. Journal of Economic Literature 1997, 35(1):13-39.
9. McAndrews, J., Sarkar, A., & Wang, Z. (2008). The effect of the term auction facility on the London inter-bank offered rate. Federal Reserve Bank of New York Staff Report no. 335.
10. Murray J., Powell J. Dollarization in Canada: Where does the buck stop?. North American Journal of Economics and Finance 2003, 14(2):145-172.
11. Taylor J., Williams J. A black swan in the money market. American Economic Journal: Macroeconomics 2009, 1(1):58-83.
12. Terajima Y., Vikstedt H., Witmer J. The impact of the financial crisis on cross-border funding. Bank of Canada Financial System Review 2010 June, 33-40.
13. Wu T. On the effectiveness of the federal reserve's new liquidity facilities. Federal Reserve Bank of Dallas Working Paper 0808 2008.
14. Zorn L., Wilkins C., Engert W. Bank of Canada liquidity actions in response to the financial market turmoil. Bank of Canada Review 2009 Autumn, 7-26.