What drives the Libor-OIS spread? : evidence from five major currency Libor-OIS spreads
Year of publication: |
September 2016
|
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Authors: | Cuia, Jin ; In, Francis Haeuck ; Maharaj, Elizabeth Ann |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 45.2016, p. 358-375
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Subject: | Libor-OIS spread change determinants | Credit and counterparty risks | Market liquidity and volatility | Banking system leverage | State of the economy | Bank risk fundamentals | Volatilität | Volatility | Zinsstruktur | Yield curve | Bankrisiko | Bank risk | Kreditrisiko | Credit risk | Liquidität | Liquidity |
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