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Do Central Bank Liquidity Facilities Affect Interbank Lending Rates?

Diamond and Rajan (2009) argue that securitisation also plays an important role in the transmission of interest rate shocks to the housing market. Securitisation allows banks to share risks by moving them off their balance sheets. This leads to an increase in banks' risk appetite and strengthens the `risk-taking channel' described above. To the extent that banks become more lenient in their lending standards, the ' nancial accelerator' effect may be strengthened as well. By amplifying these transmission channels, securitisation may play a role in propagating the effects of interest rate reductions on housing activity. 3 Diamond and Rajan also highlight that securitisation facilitates foreign investment in mortgage loans. Without. | FEDERAL RESERVE BANK OF SAN FRANCISCO WORKING PAPER SERIES Do Central Bank Liquidity Facilities Affect Interbank Lending Rates Jens H. E. Christensen Federal Reserve Bank of San Francisco Jose A. Lopez Federal Reserve Bank of San Francisco Glenn D. Rudebusch Federal Reserve Bank of San Francisco June 2009 Working Paper 2009-13 http www.frbsf.org publications economics papers 2009 wp09-13bk.pdf The views in this paper are solely the responsibility of the authors and should not be interpreted as reflecting the views of the Federal Reserve Bank of San Francisco or the Board of Governors of the Federal Reserve System. Do Central Bank Liquidity Facilities Affect Interbank Lending Rates Jens H. E. Christensen Jose A. Lopez Glenn D. Rudebusch Federal Reserve Bank of San Francisco 101 Market Street San Francisco CA 94105 Abstract 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 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 risk and liquidity risk. 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. We thank conference participants at the Federal Reserve Bank of New York the Federal Deposit Insurance Corporation the Board of Governors of the Federal Reserve System the Bank of England Koc University and the Federal Reserve Bank of San Francisco and especially Pierre Collin-Dufresne and Simon Potter for helpful comments. The views in this paper are solely the responsibility of the authors and should not be interpreted as reflecting the views of the Federal Reserve Bank of San Francisco or .