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dc.contributor.authorGuidolin, Massimoen_US
dc.contributor.authorTam, Yu Manen_US
dc.date.accessioned2011-05-05en_US
dc.date.accessioned2011-10-24T07:57:00Z-
dc.date.available2011-10-24T07:57:00Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/50681-
dc.description.abstractWe use a simple partial adjustment econometric framework to investigate the effects of the crisis on the dynamic properties of a number of yield spreads. We find that the crisis has caused substantial disruptions revealed by changes in the persistence of the shocks to spreads as much as by in their unconditional mean levels. Formal breakpoint tests confirm that the financial crisis has been over approximately since the Spring of 2009. The financial crisis can be conservatively dated as a August 2007 - June 2009 phenomenon, although some yield spread series seem to point out to an end of the most serious disruptions as early as in December 2008. We uncover evidence that the LSAP program implemented by the Fed in the US residential mortgage market has been effective, in the sense that the risk premia in this market have been uniquely shielded from the disruptive effects of the crisis.en_US
dc.language.isoengen_US
dc.publisherManchester Business School Manchesteren_US
dc.relation.ispartofseriesManchester Business School working paper 610en_US
dc.subject.jelE40en_US
dc.subject.jelE52en_US
dc.subject.jelC23en_US
dc.subject.ddc330en_US
dc.subject.keywordyield spreadsen_US
dc.subject.keywordcredit risken_US
dc.subject.keywordliquidity risken_US
dc.subject.keywordbreak-point testsen_US
dc.subject.keywordpartial adjustment modelsen_US
dc.titleA yield spread perspective on the great financial crisis: Break-point test evidenceen_US
dc.typeWorking Paperen_US
dc.identifier.ppn657397458en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Manchester Business School Working Paper Series, The University of Manchester

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