Olson, Eric; Miller, Scott; Wohar, Mark E. - In: Journal of International Money and Finance 31 (2012) 6, pp. 1339-1357
The LIBOR–OIS spread is a closely monitored indicator of the financial health of economy. Previous research has used this spread to identify and anticipate abrupt changes in financial markets. Taylor and Williams (2009) refer to the drastic increase in the US LIBOR–OIS spread on August 7th,...
