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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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An empirical assessment of global capital productivity
Knolle, Julia; Lehmann, Kai - 2016
Does the world experience a secular decline in capital productivity? Due to the long-run downward trend in interest rates, some economists do think so. However, this reasoning equates capital productivity with interest, which is a critical assumption. This paper presents a new proxy that can be...
Persistent link: https://www.econbiz.de/10011521179
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An empirical assessment of global capital productivity
Knolle, Julia; Lehmann, Kai - 2016 - This version: 26 April 2016
Does the world experience a secular decline in capital productivity? Due to the long-run downward trend in interest rates, some economists do think so. However, this reasoning equates capital productivity with interest, which is a critical assumption. This paper presents a new proxy that can be...
Persistent link: https://www.econbiz.de/10011488650
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Variance bounds on the permanent and transitory components of stochastic discount factors
Bakshi, Gurdip S.; Chabi-Yo, Fousseni - 2011
In this paper, we develop lower bounds on the variance of the permanent component and the transitory component, and on the variance of the ratio of the permanent to the transitory components of SDFs. Exactly solved eigenfunction problems are then used to study the empirical attributes of asset...
Persistent link: https://www.econbiz.de/10009507305
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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/10011340948
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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/10011819515
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Does SOFR-linked debt cost borrowers more than LIBOR-linked debt?
Klingler, Sven; Syrstad, Olav - 2023
We investigate if the benchmark transition from London Interbank Offered Rate (Libor) to Secured Overnight Financing … notes (FRNs) provides an ideal laboratory to study these e ects. Comparing the spreads of FRNs linked to LIBOR and SOFR …
Persistent link: https://www.econbiz.de/10014551704
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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/10012661545
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Covered Interest Parity in long-dated securities
Syrstad, Olav - 2020
This paper investigates the validity of Covered Interest Rate Parity (CIP) in longdated fixed income securities. I show that common measures of CIP rely on trading strategies subject to rollover risk and credit risk, or fail to fully account for the trading costs. Hence, roundtrip CIP profit is...
Persistent link: https://www.econbiz.de/10012661567
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Euribor, Eonia und €STR: Weichenstellungen der Working Group on Euro Risk-free Rates
Read, Oliver; Beißer, Jochen - 2019
Infolge der Anwendung der Benchmark-Verordnung steht fest, dass Eonia und Euribor in der aktuellen Form ab 1. Januar 2020 für Neugeschäft nicht mehr verwendet werden können. Die Working Group on Euro Risk-Free Rates hat Weichen gestellt, um die Lücken zu schließen. Als risikoloser...
Persistent link: https://www.econbiz.de/10013439914