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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....

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

Investigating the Impact of Sovereign Interest Rates on Corporate Borrowing Costs in the Euro Area

Bouveret, Antoine - 2011

We analyze how public finances, through sovereign interest rates, impact corporate borrowing costs in the Euro Area. Theoretically, an increase in sovereign rates can have an impact on banks interest rates through three main channels: i) an increase in the risk free rate (price channel) ii) a...

Persistent link: https://www.econbiz.de/10013130112

Interest rates modeling and forecasting : do macroeconomic factors matter?

Kuczera, Adam - 2017

Recent studies documented a sufficient forecasting performance of shadow-rate models in the low yields environment. Moreover, it has been shown that including the macro-variables into the shadow-rate models further improves the results. We build on these findings and evaluate for the U.S....

Persistent link: https://www.econbiz.de/10011659284

A Flexible Non Linear Model to Test the Expectation Hypothesis of Interest Rates

Sahut, Jean-Michel - 2011

Conventional approaches to examining the expectation hypothesis of interest rates assume a parametric linear specification among variables. In contrast, this paper tests the hypothesis using a flexible nonlinear inference approach proposed by Hamilton (2001). We examine the impact of the...

Persistent link: https://www.econbiz.de/10013130485

The Effect of Underreporting on LIBOR Rates

Monticini, Andrea - 2013

On May 29, 2008, the Wall Street Journal reported that several large international banks were reporting unjustifiably low LIBOR rates. Since then two large banks, Barclays and UBS, have paid significant fines for manipulating their LIBOR rates, and additional banks are expected to be fined. This...

Persistent link: https://www.econbiz.de/10013086120

Euro area sovereign yield spreads as determinants of private sector borrowing costs

Theobald, Thomas; Tober, Silke - 2018

We regress long-term private sector interest rates on a money market rate, a term premium and credit risk. As a contribution to the current debate about European safe assets, our interest is in quantifying domestic spillover effects from euro area sovereign bond spreads. Panel estimates show...

Persistent link: https://www.econbiz.de/10011914111

Why are policy real interest rates so high in Brazil? : an analysis of the determinants of the Central Bank of Brazil's real interest rate

Balliester Reis, Thereza - 2016

This paper discusses the reasons for Brazil.s high policy real interest rates by considering two opposing views, the … level of the policy rate in Brazil. The aim of this study is to assess whether the proposed arguments can be supported when … might be political causes of the high real interest rates in Brazil such as a politically influential rentier class. …

Persistent link: https://www.econbiz.de/10011573453

Pure theory of the federal funds rate

Homburg, Stefan - 2016

While the target federal funds rate represents a policy instrument, the effective federal funds rate is determined in a competitive interbank market. The paper proposes a theory of its determination. This yields a specific term structure of interest rates, an account of why the money multiplier...

Persistent link: https://www.econbiz.de/10011517427

Forward guidance and long term interest rates : inspecting the mechanism

De Graeve, Ferre; Ilbas, Pelin; Wouters, Rafael - 2014

Forward guidance policies are often argued to stimulate economic activity by reducing nominal long term interest rates. We document why a lower nominal long rate is neither necessary nor sufficient for forward guidance to be successful. We determine the mechanisms behind widely varying long rate...

Persistent link: https://www.econbiz.de/10010460180

A Kalman filter approach to Fisher effect : evidence from Nigeria

Asemota, Omorogbe J.; Bala, Dahiru A. - In: CBN journal of applied statistics 2 (2011) 1, pp. 71-91

This paper investigates evidence of a Fisher effect in Nigeria by employing quarterly CPI inflation and Nominal interest rates data. For a more robust result we conducted integration and cointegration tests in order to examine time-series properties of the variables. Using Co-integration and...

Persistent link: https://www.econbiz.de/10011477662