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Investigating risk contagion initiated by endogenous liquidity shocks : evidence from the US and eurozone interbank markets

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Liquidity Risk Contagion in the Interbank Market

Eross, Andrea - 2016

This paper studies liquidity risk contagion within the interbank market by assessing the long-run relationship of short-term interest rate spreads from January 2002 to December 2015. In particular, we model the interaction between the LIBOR-OIS spread, euro fixed-float OIS swap rate and the...

Persistent link: https://www.econbiz.de/10012999821