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Die Erwartungstheorie der Zinsstruktur, Geldpolitik und zeitvariable Risikoprämien : eine empirische Analyse des Euro-DM-Geldmarktes

Wasmund, Jörn - 1999

Die umfangreiche empirische Literatur zur Gültigkeit der Erwartungstheorie der Zinsstruktur in den USA hat einen "U … werden in Kapitel 2 unterschiedliche Theorien der Zinsstruktur dargestellt und die ökonometrisch-methodischen Testansätze der … diskutiert und mittels eines multivariaten ARCH-Ansatzes zeitvariable Risikoprämien in der deutschen Zinsstruktur nachgewiesen …

Persistent link: https://www.econbiz.de/10011401950

Die Erwartungstheorie der Zinsstruktur, Geldpolitik und zeitvariable Risikoprämien : eine empirische Analyse des Euro-DM-Geldmarktes

Wasmund, Jörn - 1999

Persistent link: https://www.econbiz.de/10001367087

The impact of the global financial crisis on the cross-currency linkage of LIBOR-OIS spreads

Ji, Philip Inyeob; In, Francis Haeuck - In: Journal of international financial markets, … 20 (2010) 5, pp. 575-589

Persistent link: https://www.econbiz.de/10009247741

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....

Persistent link: https://www.econbiz.de/10010393220

The Impact of Subprime Mortgage Crisis on Cross-Currency Linkage of LIBOR-OIS Spreads

Ji, Philip - 2011

This paper examines the cross-currency linkage of LIBOR-OIS spreads. We consider daily spread data in five major currencies for the period of March 1, 2006 to Nov 11, 2008. The impulse response analysis is conducted in a multivariate setting, adopting the bias-corrected bootstrap as a means of...

Persistent link: https://www.econbiz.de/10013134666

What Drives Interbank Rates? Evidence from the Libor Panel

Michaud, Francois-Louis - 2013

The risk premium contained in the interest rates on three-month interbank deposits at large, internationally active banks increased sharply in August 2007 and risk premiahave remained at an elevated level since. This feature aims to identify the drivers of this increase, in particular the role...

Persistent link: https://www.econbiz.de/10013095302