The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to trillions more in variable rate mortgage and student loans....

On 5-6 September 2012 SUERF held its 30th Colloquium “States, Banks, and the Financing of the Economy” at the University of Zürich, Switzerland. The papers included in this SUERF Study are based on contributions to the Colloquium. All the chapters in this publication discuss from different...

Seit dem Einbruch der Aktienmärkte Anfang 2000 hat die Fed durch massive Liquiditätszufuhr versucht, die amerikanische Wirtschaft zu stabilisieren. Ein wesentliches Motiv war die Befürchtung, die amerikanische Wirtschaft könne in eine Liquiditätsfalle geraten. Motiviert von der...

This paper focuses on the impact of the financial and economic crisis of 2008–2009 on the issuance of sovereign debt in the Central and Eastern European region and other developing countries. As a result of the fiscal rescue packages, the financing requirement of both developed and emerging...

This paper generates monthly risk premia data using zero coupon government treasury bills for 43 countries over the period of 1994-2006. The measure of risk premia is based on the ARCH-in-Mean (ARCH-M) model introduced by Engle, Lilien and Robins (1987). We show that the risk premia are time...

This paper introduces state-uncertainty preferences into the Lucas (1982) economy, showing that this type of preferences helps to explain the exchange rate risk premium. Under these preferences we can distinguish between two factors driving the exchange rate risk premium: “macroeconomic...

The goal of this paper is to identify the main determinants of the risk premium in some European currency markets just before the EMU. To that extent, we start from Lucas (1982) exchange rate model and derive an analytical expression for the forward premium. This expression includes money and...

Asset prices have been found to respond to unpredicted changes in macroeconomic variables in a number of studies. This paper focuses on the relationship between economic factors and the stock market for a small open economy, namely Canada. Exchange risk is observed to have a significant impact...