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Burying Libor
Klingler, Sven; Syrstad, Olav - 2019
We argue that the planned transition toward alternative benchmark rates gives reason to mourn Libor. Guided by a model …
Persistent link: https://www.econbiz.de/10012214298
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The Production of Commodities and Multiple Interest Rate Analysis
Vienneau, Robert L. - 2016
This paper considers the application of multiple interest rate analysis to a model of the production of commodities by means of commodities. A polynomial, for the characteristic equation of the augmented input-output matrix, is used in defining the rate of profits in such a model. Only one root...
Persistent link: https://www.econbiz.de/10012977407
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Basic Commodities and Multiple Interest Rate Analysis
Vienneau, Robert L. - 2016
This paper considers the application of multiple interest rate analysis to a model of the production of commodities by means of commodities. A polynomial, for the characteristic equation of the augmented input-output matrix, is used in defining the rate of profits in such a model. Only one root...
Persistent link: https://www.econbiz.de/10012977852
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LIBOR : origins, economics, crisis, scandal, and reform
Hou, David; Skeie, David - 2014
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. LIBOR's volatile behavior during the financial crisis provoked …
Persistent link: https://www.econbiz.de/10010393220
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Peer M´monitoring vs. search costs in the interbank market : evidence from payment flow data in Norway
Findreng, Jon - 2021
Bilateral payment flows between banks may provide private information about a borrowing bank's liquidity position. This paper analyses whether private information on the bilateral payment flow of central bank reserves foster peer monitoring or whether the information is used to reduce search...
Persistent link: https://www.econbiz.de/10012544439
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Inferring Interbank Loans and Interest Rates from Interbank Payments - An Evaluation
Akram, Qaisar Farooq - 2014
We investigate whether overnight interbank loans and interest rates can be reliably inferred at the market and bank level from central banks' interbank payments data. We identify overnight loans and interest rates among interbank payments for 11 banks in Norway and compare them with the actual...
Persistent link: https://www.econbiz.de/10013060377
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Collusive benchmark rates fixing
Boot, Nuria; Klein, Timo; Schinkel, Maarten-Pieter - 2018 - Revision: January 2018
The fixing of the Libor and Euribor benchmark rates has proven vulnerable to manipulation. Individual rate-setters may …
Persistent link: https://www.econbiz.de/10011791538
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Collusive benchmark rates fixing
Boot, Nuria; Klein, Timo; Schinkel, Maarten-Pieter - 2017
The fixing of the Libor and Euribor benchmark rates has proven vulnerable to manipulation. Individual rate-setters may …
Persistent link: https://www.econbiz.de/10011780773
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Interest on reserves and arbitrage in post-crisis money markets
Keating, Thomas; Macchiavelli, Marco - 2017
Currently, Eurodollars and fed funds markets combined trade about $220 billion in funds daily, the vast majority of which with overnight tenor. In this paper, we document several features of these wholesale unsecured dollar funding markets. Using daily confidential data on wholesale unsecured...
Persistent link: https://www.econbiz.de/10011803726
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Pricing in the Norwegian Interbank Market – The Effects of Liquidity and Implicit Government Support
Akram, Q. Farooq - 2016
We investigate the effects of central bank liquidity and possible implicit government guarantees against default on Norwegian overnight interbank interest rates. We conduct an econometric study of these interest rates over the period 2006-2009, which includes the sharp fall in interbank trading...
Persistent link: https://www.econbiz.de/10012998259