King, Thomas B.; Lewis, Kurt F. - Federal Reserve Bank of Chicago - 2014
at several maturities into components reflecting counterparty credit risk and funding-market liquidity. To account for …We use matched, bank-level panel data on Libor submissions and credit default swaps to decompose bank-funding spreads … within a model of the costs and benefits of lying. We find that Libor spreads typically consist mostly of a liquidity premium …