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What the Libor-OIS spread says

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Author Info

  • Daniel L. Thornton

Abstract

Libor-OIS remains a barometer of fears of bank insolvency.

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File URL: http://research.stlouisfed.org/publications/es/09/ES0924.pdf
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Bibliographic Info

Article provided by Federal Reserve Bank of St. Louis in its journal Economic Synopses.

Volume (Year): (2009)
Issue (Month): ()
Pages:

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Handle: RePEc:fip:fedles:y:2009:n:24

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Related research

Keywords: Money market ; Federal funds rate ; Bank loans;

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Citations

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Cited by:
  1. Andrew Green & Chris Kenyon, 2014. "Calculating the Funding Valuation Adjustment (FVA) of Value-at-Risk (VAR) based Initial Margin," Papers 1405.0508, arXiv.org.
  2. Ji, Philip Inyeob & In, Francis, 2010. "The impact of the global financial crisis on the cross-currency linkage of LIBOR-OIS spreads," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(5), pages 575-589, December.
  3. Florackis, Chris & Kostakis, Alexandros & Kontonikas, Alexandros, 2011. "Transmission of macro-liquidity shocks to liquidity-sorted stock portfolios’ returns: The role of the financial crisis," SIRE Discussion Papers 2011-31, Scottish Institute for Research in Economics (SIRE).
  4. Olson, Eric & Miller, Scott & Wohar, Mark E., 2012. "“Black Swans” before the “Black Swan” evidence from international LIBOR–OIS spreads," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1339-1357.
  5. Paul Asquith & Andrea S. Au & Thomas R. Covert & Parag A. Pathak, 2010. "The Market for Borrowing Corporate Bonds," NBER Working Papers 16282, National Bureau of Economic Research, Inc.
  6. Monticini, Andrea & Thornton, Daniel L., 2013. "The effect of underreporting on LIBOR rates," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 345-348.
  7. Raffaela Giordano & Marcello Pericoli & Pietro Tommasino, 2013. "Pure or Wake-up-Call Contagion? Another Look at the EMU Sovereign Debt Crisis," International Finance, Wiley Blackwell, vol. 16(2), pages 131-160, 06.
  8. Jitmaneeroj, Boonlert & Wood, Andrew, 2013. "The expectations hypothesis: New hope or illusory support?," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1084-1092.

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