The present article studies the dynamic linkages between the LIBOR-OIS spreads of major currencies for the period of March 1, 2006 to November 12, 2008. The Dynamic Conditional Correlation model is employed to examine the impact of the global financial crisis on the cross-currency correlations of the spreads. The overall evidence suggests that the crisis increased the degree of money market integration of the Australian dollar, the Euro and the Sterling with the US dollar. The Japanese Yen appears to have been insulated from the US dollar shortage shocks throughout the period. In addition, the FX swap market liquidity plays an important role in explaining the market integration, whereas the credit worthiness difference between the LIBOR panel banks is a less significant factor.
|Pages (from-to)||647 - 657|
|Number of pages||11|
|Journal||Journal of International Financial Markets, Institutions and Money|
|Publication status||Published - 2012|