Advanced Search
MyIDEAS: Login

Citations for "What drives interbank rates? Evidence from the Libor panel"

by François-Louis Michaud & Christian Upper

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window
  1. Naohiko Baba & Frank Packer, 2009. "From turmoil to crisis: dislocations in the FX swap market before and after the failure of Lehman Brothers," BIS Working Papers 285, Bank for International Settlements.
  2. Muhammad Omer & Jakob de Haan & Bert Scholtens, 2012. "Testing Uncovered Interest Rate Parity Using LIBOR," CESifo Working Paper Series 3839, CESifo Group Munich.
  3. Pelizzon, Loriana & Sartore, Domenico, 2013. "Deciphering the Libor and Euribor Spreads during the subprime crisis," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 26(C), pages 565-585.
  4. Baba, Naohiko & Packer, Frank, 2009. "From turmoil to crisis: Dislocations in the FX swap market before and after the failure of Lehman Brothers," Journal of International Money and Finance, Elsevier, Elsevier, vol. 28(8), pages 1350-1374, December.
  5. Monfort, A. & Renne, J-P., 2011. "Default, liquidity and crises: an econometric framework," Working papers, Banque de France 340, Banque de France.
  6. Baba, Naohiko & Packer, Frank, 2009. "Interpreting deviations from covered interest parity during the financial market turmoil of 2007-08," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(11), pages 1953-1962, November.
  7. Affinito, Massimiliano, 2012. "Do interbank customer relationships exist? And how did they function in the crisis? Learning from Italy," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(12), pages 3163-3184.
  8. Filipović, Damir & Trolle, Anders B., 2013. "The term structure of interbank risk," Journal of Financial Economics, Elsevier, Elsevier, vol. 109(3), pages 707-733.
  9. Acharya, Viral V. & Skeie, David, 2011. "A model of liquidity hoarding and term premia in inter-bank markets," Journal of Monetary Economics, Elsevier, Elsevier, vol. 58(5), pages 436-447.
  10. Ansgar Belke & Jens Klose, 2012. "Modifying Taylor Reaction Functions in Presence of the Zero-Lower-Bound – Evidence for the ECB and the Fed," ROME Working Papers, ROME Network 201203, ROME Network.
  11. Ansgar Belke & Jens Klose, 2010. "(How) Do the ECB and the Fed React to Financial Market Uncertainty? – The Taylor Rule in Times of Crisis," Ruhr Economic Papers, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen 0166, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  12. Heiko Hesse & Nathaniel Frank, 2009. "The Effectiveness of Central Bank Interventions During the First Phase of the Subprime Crisis," IMF Working Papers 09/206, International Monetary Fund.
  13. Yacine Aït-Sahalia & Jochen Andritzky & Andreas Jobst & Sylwia Nowak & Natalia Tamirisa, 2010. "Market Response to Policy Initiatives during the Global Financial Crisis," NBER Working Papers 15809, National Bureau of Economic Research, Inc.
  14. Mathias Drehmann & Kleopatra Nikolaou, 2010. "Funding liquidity risk: definition and measurement," BIS Working Papers 316, Bank for International Settlements.
  15. Shin-ichi Fukuda, 2011. "Market-specific and Currency-specific Risk During the Global Financial Crisis: Evidence from the Interbank Markets in Tokyo and London," NBER Working Papers 16962, National Bureau of Economic Research, Inc.
  16. Cassola, Nuno & Hortacsu, Ali & Kastl, Jakub, 2011. "The 2007 subprime market crisis through the lens of European Central Bank auctions for short-term funds," Working Paper Series, European Central Bank 1374, European Central Bank.
  17. Hans-Werner Sinn & John Hassler & Gilles Saint-Paul & Giancarlo Corsetti & Michael P. Devereux & Tim Jenkinson & Jan-Egbert Sturm & Xavier Vives, 2009. "Chapter 2: The Financial Crisis," EEAG Report on the European Economy, CESifo Group Munich, CESifo Group Munich, vol. 0, pages 59-122, 02.
  18. Beirne, John, 2012. "The EONIA spread before and during the crisis of 2007–2009: The role of liquidity and credit risk," Journal of International Money and Finance, Elsevier, Elsevier, vol. 31(3), pages 534-551.
  19. Cho-Hoi Hui & Hans Genberg & Tsz-Kin Chung, 2009. "Liquidity, Risk Appetite and Exchange Rate Movements During the Financial Crisis of 2007-2009," Working Papers 0911, Hong Kong Monetary Authority.
  20. International Monetary Fund, 2009. "How to Stop a Herd of Running Bears? Market Response to Policy Initiatives During the Global Financial Crisis," IMF Working Papers 09/204, International Monetary Fund.
  21. Robert A. Ritz & Ansgar Walther, 2014. "How do banks respond to increased funding uncertainty?," Cambridge Working Papers in Economics 1414, Faculty of Economics, University of Cambridge.
  22. Yüksel, Ebru & Metin-Ozcan, Kivilcim & Hatipoglu, Ozan, 2013. "A survey on time-varying parameter Taylor rule: A model modified with interest rate pass-through," Economic Systems, Elsevier, vol. 37(1), pages 122-134.
  23. Massimiliano Affinito, 2013. "Central bank refinancing, interbank markets, and the hypothesis of liquidity hoarding: evidence from a euro-area banking system," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 928, Bank of Italy, Economic Research and International Relations Area.
  24. James McAndrews & Asani Sarkar & Zhenyu Wang, 2008. "The effect of the Term Auction Facility on the London Inter-Bank Offered Rate," Staff Reports, Federal Reserve Bank of New York 335, Federal Reserve Bank of New York.
  25. Massimiliano Affinito, 2011. "Do interbank customer relationships exist? And how did they function in the crisis? Learning from Italy," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 826, Bank of Italy, Economic Research and International Relations Area.
  26. Petra Gerlach-Kristen & Barbara Rudolf, 2010. "Macroeconomic and interest rate volatility under alternative monetary operating procedures," BIS Working Papers 319, Bank for International Settlements.
  27. Poskitt, Russell & Waller, Bradley, 2011. "Do liquidity or credit effects explain the behavior of the BKBM-LIBOR differential?," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 19(2), pages 173-193, April.
  28. David Hou Author-Name: David Skeie, 2013. "LIBOR: origins, economics, crisis, scandal and reform," The New Palgrave Dictionary of Economics, Palgrave Macmillan, Palgrave Macmillan.
  29. Laurence Fung & Ip-wing Yu, 2009. "A Study on the Transmission of Money Market Tensions in EMEAP Economies During the Credit Crisis of 2007 - 2008," Working Papers 0909, Hong Kong Monetary Authority.
  30. Belke, Ansgar & Klose, Jens, 2013. "Modifying Taylor reaction functions in the presence of the zero‐lower‐bound — Evidence for the ECB and the Fed," Economic Modelling, Elsevier, Elsevier, vol. 35(C), pages 515-527.
  31. Marco, Bianchetti & Mattia, Carlicchi, 2012. "Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR," MPRA Paper 42248, University Library of Munich, Germany.
  32. De Socio, Antonio, 2013. "The interbank market after the financial turmoil: Squeezing liquidity in a “lemons market” or asking liquidity “on tap”," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(5), pages 1340-1358.
  33. Tamakoshi, Go & Hamori, Shigeyuki, 2014. "On cross-currency transmissions between US dollar and euro LIBOR-OIS spreads," Research in International Business and Finance, Elsevier, Elsevier, vol. 30(C), pages 83-90.
  34. Gabbi, G. & Germano, G. & Hatzopoulos, V. & Iori, G. & Politi, M., 2012. "Market microstructure, bank's behaviour and interbank spreads," Working Papers, Department of Economics, City University London 12/06, Department of Economics, City University London.
  35. Fukuda, Shin-ichi, 2012. "Market-specific and currency-specific risk during the global financial crisis: Evidence from the interbank markets in Tokyo and London," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(12), pages 3185-3196.
  36. Jitmaneeroj, Boonlert & Wood, Andrew, 2013. "The expectations hypothesis: New hope or illusory support?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(3), pages 1084-1092.
  37. Patrick McGuire & Goetz von Peter, 2008. "International banking activity amidst the turmoil," BIS Quarterly Review, Bank for International Settlements, Bank for International Settlements, June.
  38. Alexius, Annika & Birenstam, Helene & Eklund, Johanna, 2014. "The interbank market risk premium, central bank interventions, and measures of market liquidity," Research Papers in Economics, Stockholm University, Department of Economics 2014:2, Stockholm University, Department of Economics.
  39. Gary B. Gorton, 2008. "The Panic of 2007," NBER Working Papers 14358, National Bureau of Economic Research, Inc.
  40. Abbassi, Puriya & Linzert, Tobias, 2012. "The effectiveness of monetary policy in steering money market rates during the financial crisis," Journal of Macroeconomics, Elsevier, Elsevier, vol. 34(4), pages 945-954.
  41. Naohiko Baba & Frank Packer, 2008. "Interpreting deviations from covered interest parity during the financial market turmoil of 2007-08," BIS Working Papers 267, Bank for International Settlements.
  42. Eisenschmidt, Jens & Tapking, Jens, 2009. "Liquidity risk premia in unsecured interbank money markets," Working Paper Series, European Central Bank 1025, European Central Bank.
  43. Peter Hördahl & Michael R King, 2008. "Developments in repo markets during the financial turmoil," BIS Quarterly Review, Bank for International Settlements, Bank for International Settlements, December.
  44. Christopher Martin & Costas Milas, 2010. "Financial Stability and Monetary Policy," Working Paper Series, The Rimini Centre for Economic Analysis 12_10, The Rimini Centre for Economic Analysis.
  45. Cho-Hoi Hui & Hans Genberg & Tsz-Kin Chung, 2009. "Funding Liquidity Risk and Deviations from Interest-Rate Parity During the Financial Crisis of 2007-2009," Working Papers 0913, Hong Kong Monetary Authority.
  46. Cho-Hoi Hui & Tsz-Kin Chung & Chi-Fai Lo, 2013. "Using Interest Rate Derivative Prices to Estimate LIBOR-OIS Spread Dynamics and Systemic Funding Liquidity Shock Probabilities," Asia-Pacific Financial Markets, Springer, Springer, vol. 20(2), pages 131-146, May.
  47. 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, Elsevier, vol. 20(5), pages 575-589, December.
  48. Adam Gersl & Jitka Lesanovska, 2013. "Explaining the Czech Interbank Market Risk Premium," Working Papers, Czech National Bank, Research Department 2013/01, Czech National Bank, Research Department.