Work detail

Liquidity on euro area money markets and unconventional monetary policy

Author: Mgr. Barbora Majerová
Year: 2014 - winter
Leaders: PhDr. Tomáš Adam
Consultants:
Work type: Economic Theory
Masters
Language: English
Pages: 83
Awards and prizes:
Link: https://is.cuni.cz/webapps/zzp/detail/125757/
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
im
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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