کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5083285 1477797 2016 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
What drives the Libor-OIS spread? Evidence from five major currency Libor-OIS spreads
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
What drives the Libor-OIS spread? Evidence from five major currency Libor-OIS spreads
چکیده انگلیسی

We investigate the determinants of five major currency Libor-OIS spread changes during the long run and interbank market distress periods. Consistent with recent studies, we find that systemic credit and counterparty risks, market liquidity, and volatility are spread determinants. However, the impact and relevance of these determinants change, depending on the stages of the interbank market crisis. We show that commercial bank leverage and the state of the economy are additional spread drivers. We also discover that the key USD spread is strongly related to banks' risk tolerance levels, capital concerns, and secondary market liquidity during the crisis, even after controlling for other factors.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Economics & Finance - Volume 45, September 2016, Pages 358-375
نویسندگان
, , ,