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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/10012417497

What drives interbank loans? : evidence from Canada

Bulusu, Narayan; Guérin, Pierre - 2018

We identify the drivers of unsecured and collateralized loan volumes, rates and haircuts in Canada using the Bayesian model averaging approach to deal with model uncertainty. Our results suggest that the key friction driving behaviour in this market is the collateral reallocation cost faced by...

Persistent link: https://www.econbiz.de/10011787963

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

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

The impact of exogenous liquidity shocks on banks funding costs : microevidence from the unsecured interbank market

Sarmiento, Miguel - 2019 - second version: January 2019

This paper examines the impact of exogenous liquidity shocks in the unsecured interbank market. We evaluate the effects of idiosyncratic liquidity shocks - arising from deposits outflow at the bank level - and of the aggregate liquidity shock related to the U.S. tapering observed between May and...

Persistent link: https://www.econbiz.de/10011958312

Unsecured and secured funding

Di Filippo, Mario; Ranaldo, Angelo; Wrampelmeyer, Jan - 2018

We empirically investigate why wholesale funding is fragile by providing the first study of how individual banks borrow and lend in the euro unsecured and secured interbank market. Consistent with theories in which lenders enforce market discipline by monitoring counterparty credit risk and...

Persistent link: https://www.econbiz.de/10011818292

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

Reasons for the LIBOR review and its effects on international interbank reference rate quotations

Erhart, Szilárd; Ligeti, Imre; Molnár, Zoltán - In: MNB Bulletin 8 (2013) 1, pp. 23-34

In 2012, news related the manipulation of LIBOR directed the attention of authorities and the general public to … interbank reference rates. International reviews made it clear that a reform of LIBOR and the numerous reference rates that … follow the methodology of LIBOR is necessary, because changes in reference rates influence the payment terms of thousands of …

Persistent link: https://www.econbiz.de/10010854244

LIBOR: origins, economics, crisis, scandal and reform

Skeie, David Hou David - Palgrave Macmillan

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 erratic behaviour during the financial crisis fuelled market …

Persistent link: https://www.econbiz.de/10010861107

Integration of Key Worldwide Money Market Interest Rates and the Federal Funds Rate: An Empirical Investigation

Kasibhatla, Krishna M. - In: The International Journal of Business and Finance Research 6 (2012) 4, pp. 125-138

interest rates are three and six month Eurodollar London Interbank Offered Rates (Libor), three and six month U.S. Treasury …

Persistent link: https://www.econbiz.de/10010940787