Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
963532 | Journal of International Financial Markets, Institutions and Money | 2010 | 15 Pages |
Abstract
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.
Keywords
Related Topics
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Economics, Econometrics and Finance
Economics and Econometrics
Authors
Philip Inyeob Ji, Francis In,