کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
963532 | 1479125 | 2010 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The impact of the global financial crisis on the cross-currency linkage of LIBOR-OIS spreads
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This article examines the impact of global financial crisis on cross-currency linkage of the LIBOR-OIS spread, a financial stress measure in interbank markets. The impulse response analysis is conducted in a multivariate setting, adopting the bias-corrected bootstrap as a means of statistical inference. The overall evidence suggests that the crisis has substantially changed the nature of the cross-currency interactions in liquidity stress. Also global money markets have failed to contain stress in US dollar funding and the role of the Japanese yen as a liquidity source appears to be significant, while these two currencies drive the cross-currency system of liquidity stress.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 20, Issue 5, December 2010, Pages 575-589
Journal: Journal of International Financial Markets, Institutions and Money - Volume 20, Issue 5, December 2010, Pages 575-589
نویسندگان
Philip Inyeob Ji, Francis In,