Time-varying financial stress linkages: Evidence from the LIBOR-OIS spreads

► We find interesting dynamics in the time-varying LIBOR-OIS linkages for the major currencies during the global financial crisis. ► The Japanese Yen money market appears isolated and responds to the financial crisis differently from other currency markets. ► Liquidity risk factor seems to explain the financial linkages in the LIBOR-OIS spreads more than credit risk factor.