| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 963477 | Journal of International Financial Markets, Institutions and Money | 2012 | 11 Pages |
Abstract
⺠We find interesting dynamics in the time-varying LIBOR-OIS linkages for the major currencies during the global financial crisis. ⺠The Japanese Yen money market appears isolated and responds to the financial crisis differently from other currency markets. ⺠Liquidity risk factor seems to explain the financial linkages in the LIBOR-OIS spreads more than credit risk factor.
Keywords
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Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Philip Inyeob Ji,