Abstract
Original language | English |
---|---|
Pages (from-to) | 358-375 |
Number of pages | 18 |
Journal | International Review of Economics and Finance |
Volume | 45 |
DOIs | |
Publication status | Published - 1 Sep 2016 |
Keywords
- Bank risk fundamentals
- Banking system leverage
- Credit and counterparty risks
- Libor–OIS spread change determinants
- Market liquidity and volatility
- State of the economy
Cite this
}
What drives the Libor–OIS spread? Evidence from five major currency Libor–OIS spreads. / Cui, Jin; In, Francis; Maharaj, Elizabeth Ann.
In: International Review of Economics and Finance, Vol. 45, 01.09.2016, p. 358-375.Research output: Contribution to journal › Article › Research › peer-review
TY - JOUR
T1 - What drives the Libor–OIS spread?
T2 - Evidence from five major currency Libor–OIS spreads
AU - Cui, Jin
AU - In, Francis
AU - Maharaj, Elizabeth Ann
PY - 2016/9/1
Y1 - 2016/9/1
N2 - We investigate the determinants of five major currency Libor–OIS spread changes during the long run and interbank market distress periods. Consistent with recent studies, we find that systemic credit and counter party risks, market liquidity, and volatility are spread determinants. However, the impact and relevance of these determinants change, depending on the stages of the interbank market crisis. We show that commercial bank leverage and the state of the economy are additional spread drivers. We also discover that the key USD spread is strongly related to banks' risk tolerance levels, capital concerns, and secondary market liquidity during the crisis, even after controlling for other factors.
AB - We investigate the determinants of five major currency Libor–OIS spread changes during the long run and interbank market distress periods. Consistent with recent studies, we find that systemic credit and counter party risks, market liquidity, and volatility are spread determinants. However, the impact and relevance of these determinants change, depending on the stages of the interbank market crisis. We show that commercial bank leverage and the state of the economy are additional spread drivers. We also discover that the key USD spread is strongly related to banks' risk tolerance levels, capital concerns, and secondary market liquidity during the crisis, even after controlling for other factors.
KW - Bank risk fundamentals
KW - Banking system leverage
KW - Credit and counterparty risks
KW - Libor–OIS spread change determinants
KW - Market liquidity and volatility
KW - State of the economy
UR - http://www.scopus.com/inward/record.url?scp=84978079913&partnerID=8YFLogxK
U2 - 10.1016/j.iref.2016.04.002
DO - 10.1016/j.iref.2016.04.002
M3 - Article
VL - 45
SP - 358
EP - 375
JO - International Review of Economics and Finance
JF - International Review of Economics and Finance
SN - 1059-0560
ER -