کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10477491 | 930364 | 2012 | 20 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The impact of a new term auction facility on Libor-OIS spreads and volatility transmission between money and mortgage markets during the subprime crisis
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
During the subprime crisis, the U.S. Federal Reserve was concerned about widening spreads between overnight interbank lending rates such as the overnight index swap (OIS) and term London Interbank Offer Rate (Libor). Among the tools it used to counter the impact of the crisis, the innovative term auction facility (TAF) attracted much attention. We investigate the impact of the TAF on the Libor-OIS spread. We find that the TAF has clear initial and sustained expectation effects on the three-month Libor-OIS spread, but no real initial or short-term funding effects, which casts doubt on the usefulness of the TAF in reducing risk spreads. Since the subprime crisis also spilled across the interbank, commercial paper, and jumbo mortgage markets, we further examine the lead-lag relation between Libor-OIS, commercial paper, and jumbo spreads and the volatility transmission effects between them. For the period before the crisis, we find that the three markets behave largely independently. For the subprime crisis period, however, we find multidirectional lead-lag relations and one-way volatility transmission between these markets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 31, Issue 5, September 2012, Pages 1106-1125
Journal: Journal of International Money and Finance - Volume 31, Issue 5, September 2012, Pages 1106-1125
نویسندگان
Francis In, Jin Cui, Elizabeth Ann Maharaj,