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Distress in Money Markets During the Global Financial Crisis: An Analysis of Co-Movement and Transmission

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  • Takayasu Ito

Abstract

This paper aims to investigate the co-movement and transmission of distress through money markets during the global financial crisis by analyzing LIBOR-OIS spreads. It focuses on the US, Eurozone, UK and Japan. The sample is divided into two periods around the time of Lehman Brothers shock to investigate the asymmetrical impact of global financial crisis on LIBOR-OIS spreads. The first period (Sample A) runs from August 9, 2007 to September 12, 2008 and the second (Sample B) from September 15, 2008 to May 20, 2009. The results show that for Sample A, distress moved synchronously across the US, Eurozone, UK and Japan through the process of global transmission. However, in Sample B such a coordination was found only between UK and Eurozone.

Suggested Citation

  • Takayasu Ito, 2013. "Distress in Money Markets During the Global Financial Crisis: An Analysis of Co-Movement and Transmission," The IUP Journal of Applied Finance, IUP Publications, vol. 19(1), pages 72-85, January.
  • Handle: RePEc:icf:icfjaf:v:19:y:2013:i:1:p:72-85
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    Cited by:

    1. Cui, Jin & In, Francis & Maharaj, Elizabeth Ann, 2016. "What drives the Libor–OIS spread? Evidence from five major currency Libor–OIS spreads," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 358-375.

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