dam a22 2 4500 551313919 CHVBK 20200911032847.0 cr ||||||||||| 181212s2018 xx |||||om--- 00 |eng-d (IDSSG)001028698 SzZuIDS HSG ger rda 330 14618714101 edok Patzelt Paula Verfasser aut Effectiveness of ECB monetary policy in easing interbank liquidity and credit risk premia an analysis of the Euribor-OIS spread Paula Patzelt St. Gallen 2018 1 Online-Ressource Text txt rdacontent/ger Computermedien c rdamedia/ger Online-Ressource cr rdacarrier/ger Bachelor-Arbeit / Universität St. Gallen Bachelorarbeit Universität St. Gallen 2018 In this thesis, the effect of ECB monetary policy actions between 2007 and 2017 on interbank market risk factors was investigated, in order to reveal the systematic effects of policy announcements with similar characteristics. Therefore, the Euribor-OIS spread was decomposed into a liquidity and a credit risk component. An event study was conducted to uncover the immediate effect of the major policy announcements on both components. In addition, a large-scale regression-based event study for all easing decisions within the timeframe was performed to distinguish between categories of announcements. The study confirmed that monetary easing decisions, when analysed in aggregate, had no significant effect on the interbank market spread, but also showed that different instruments exhibited heterogeneous effects on the liquidity and credit risk components. While the liquidity premium was decreased by interest rate reductions but increased by liquidity provisions, the credit premium was decreased through asset purchases and forward guidance. These results led to the conclusion that policies have contrasting effects on the risk components and need to be targeted more clearly in order to ease the total interbank spread significantly. Europäische Zentralbank (DE-588)5287962-8 gnd Geldpolitik (DE-588)4019902-2 gnd Eurogeldmarkt (DE-588)4015696-5 gnd Interbank market; credit risk premia; Euribor-OIS Hochschulschrift gnd-content Brown Martin 1970- (DE-588)137775946 Akademischer Betreuer dgs http://www1.unisg.ch/org/biblio/edoc.nsf/SysLkpByIdentifier/14618714101/$FILE/14618714101.pdf Volltext für Angehörige der Universität St. Gallen BK020353 XK020053 XK020000 IDSSG 100 1- Patzelt Paula Verfasser aut IDSSG 490 0- Bachelor-Arbeit / Universität St. Gallen IDSSG 700 1- Brown Martin 1970- (DE-588)137775946 Akademischer Betreuer dgs IDSSG 856 4- http://www1.unisg.ch/org/biblio/edoc.nsf/SysLkpByIdentifier/14618714101/$FILE/14618714101.pdf Volltext für Angehörige der Universität St. Gallen