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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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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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The Choice of Technique with Multiple and Complex Interest Rates
Vienneau, Robert L. - 2016
This paper clarifies the relationships between Internal Rates of Return, Net Present Value, and the analysis of the choice of technique in models of production analyzed during the Cambridge capital controversy. Multiple and possibly complex roots of polynomial equations defining the IRR are...
Persistent link: https://www.econbiz.de/10012979335
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Money market rates and retail interest regulation in China : the disconnect between interbank and retail credit conditions
Porter, Nathaniel John; Xu, TengTeng - 2013
Interest rates in China are composed of a mix of both market-determined interest rates (interbank rates and bond yields), and regulated interest rates (retail lending and deposit rates), reflecting China's gradual process of interest rate liberalization. This paper investigates the main drivers...
Persistent link: https://www.econbiz.de/10009757286
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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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Credit and Liquidity in Interbank Rates : A Quadratic Approach
Dubecq, Simon - 2016
In this paper, we propose a quadratic term-structure model of the EURIBOR-OIS spreads. As opposed to OIS, EURIBOR rates incorporate credit and liquidity risks. Indeed, a bank that lends on the unsecured market requires compensations for facing (a) the risk of default of the borrowing bank and...
Persistent link: https://www.econbiz.de/10013007148
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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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Risk Managing the LIBOR Transition
Albanese, Claudio; Iabichino, Stefano; Mammola, Paolo - 2021
By halting the LIBOR's publication, large volumes of fixed income securities, from loans to derivatives, will fall back … Adjustment (FVA) reset amounts. Our proposal accomplishes the LIBOR indexing’s mandate of transferring banks’ funding risk to … counterparties more accurately and robustly than the LIBOR itself while being objective and legally robust. We conclude that the …
Persistent link: https://www.econbiz.de/10013244857
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Fixing the Fixings : What Road to a More Representative Money Market Benchmark?
Brousseau, Vincent - 2013
, are mostly indexed on Libor and Euribor benchmarks, as are hundreds of billions in loans to enterprises, mortgages and …
Persistent link: https://www.econbiz.de/10013080448
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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