کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5088666 1478321 2015 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A comparison of the information in the LIBOR and CMT term structures of interest rates
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
A comparison of the information in the LIBOR and CMT term structures of interest rates
چکیده انگلیسی
We investigate the information contained in the London Interbank Offered Rate (LIBOR) and the U.S. Constant Maturity Treasury (CMT) term structure of interest rates and report three novel findings. First, we document that the information contained in term structures are significantly different from one another. Second, we provide evidence of a significant change in the nature of this difference as the financial crisis began. Third, we find that the significant changes in the information content of CMT and LIBOR are consistent with significant shocks to credit default swap rates and tenor swap rates.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 54, May 2015, Pages 239-253
نویسندگان
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