报告人: 段伟杰

评论人：周程

时间：2016年4月15日（周五）下午3:00—5:00

地点：西安交大文管大楼874教室

报告题目：A black swan in the money market （文献）

内容摘要：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 depend 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.

原文链接：

http://xueshu.baidu.com/s?wd=paperuri%3A%283055cc6037d1e1cf58c3045de8e3acfd%29&filter=sc_long_sign&tn=SE_xueshusource_2kduw22v&sc_vurl=http%3A%2F%2Fwww.jstor.org%2Fstable%2F25760260&ie=utf-8

报告人简介： 段伟杰，西安交通大学金禾中心应用经济学博士生。研究领域为宏观经济学、货币银行学。

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