Work detail

Liquidity on euro area money markets and unconventional monetary policy

Author: Mgr. Barbora Majerová
Year: 2014 - winter
Leaders: PhDr. Tomáš Adam
Work type: Economic Theory
Language: English
Pages: 83
Awards and prizes:
Abstract: The aim of this thesis is to estimate the effectiveness of the ECB’s measures, namely of
the Long
term refinancing operations (LTROs), on the liquidity and credit risk components.
These components are
estimated according De Socio (2011) methodology, which derives them
from the Euribor
Eonia swap spread.
The author’s hypothesis, that the LTROs have a higher
impact on liquidity risk and very small impact on the credit risk, has been confirmed based on
pulse response functions from a VAR model.
Other parts of the thesis introduce the
development on the financial markets during the period 2002

mid 2007; the liquidity (market,
funding and central bank liquidity) and liquidity risks connected to them; de
velopment of
secured and unsecured money market rates and more importantly the ECB’s unconventional
monetary policy measures, which were conducted since the crises started




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