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What drives interbank rates? Evidence from the Libor panel
Citations
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Cited by:
- Marco Taboga, 2014.
"What Is a Prime Bank? A Euribor–OIS Spread Perspective,"
International Finance, Wiley Blackwell, vol. 17(1), pages 51-75, March.
- Marco Taboga, 2013. "What is a prime bank? A Euribor � OIS spread perspective," Temi di discussione (Economic working papers) 895, Bank of Italy, Economic Research and International Relations Area.
- Geršl, Adam & Lešanovská, Jitka, 2014.
"Explaining the Czech interbank market risk premium,"
Economic Systems, Elsevier, vol. 38(4), pages 536-551.
- Adam Gersl & Jitka Lesanovska, 2013. "Explaining the Czech Interbank Market Risk Premium," Working Papers 2013/01, Czech National Bank.
- Christopher Martin & Costas Milas, 2010.
"The Sub-Prime Crisis and UK Monetary Policy,"
International Journal of Central Banking, International Journal of Central Banking, vol. 6(3), pages 119-144, September.
- Christopher Martin & Costas Milas, 2008. "The Sub-Prime Crisis and UK Monetary Policy," Working Paper series 31_08, Rimini Centre for Economic Analysis.
- Christopher Martin & C Milas, 2009. "The Sub-Prime Crisis and UK Monetary Policy," Department of Economics Working Papers 1/09, University of Bath, Department of Economics.
- Affinito, Massimiliano, 2012.
"Do interbank customer relationships exist? And how did they function in the crisis? Learning from Italy,"
Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3163-3184.
- 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) 826, Bank of Italy, Economic Research and International Relations Area.
- 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, vol. 35(C), pages 515-527.
- Belke, Ansgar & Klose, Jens, 2012. "Modifying Taylor Reaction Functions in Presence of the Zero-Lower-Bound – Evidence for the ECB and the Fed," Ruhr Economic Papers 343, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- 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 201203, ROME Network.
- Ansgar Belke & Jens Klose, 2012. "Modifying Taylor Reaction Functions in Presence of the Zero-Lower-Bound: Evidence for the ECB and the Fed," Discussion Papers of DIW Berlin 1218, DIW Berlin, German Institute for Economic Research.
- Bednarek, Peter & Dinger, Valeriya & von Westernhagen, Natalja, 2015. "Fundamentals matter: Idiosyncratic shocks and interbank relations," Discussion Papers 44/2015, Deutsche Bundesbank.
- Yoshiko Suzuki, 2016. "European banks' funding realignment during the European debt crisis: impact of counterparty risk and funding liquidity on FX swap pricing," Economics Bulletin, AccessEcon, vol. 36(2), pages 696-703.
- Guillermo Andrés Cangrejo Jiménez, 2014. "La Estructura a Plazos del Riesgo Interbancario," Documentos de Trabajo 12172, Universidad del Rosario.
- McAndrews, James & Sarkar, Asani & Wang, Zhenyu, 2017.
"The effect of the term auction facility on the London interbank offered rate,"
Journal of Banking & Finance, Elsevier, vol. 83(C), pages 135-152.
- James J. McAndrews & Asani Sarkar & Zhenyu Wang, 2008. "The effect of the Term Auction Facility on the London inter-bank offered rate," Staff Reports 335, Federal Reserve Bank of New York.
- 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;Japanese Association of Financial Economics and Engineering, vol. 20(2), pages 131-146, May.
- Anna Sznajderska, 2016. "Wpływ sposobu zarządzania płynnością, premii za ryzyko i oczekiwań na stopy rynku międzybankowego w Polsce," Bank i Kredyt, Narodowy Bank Polski, vol. 47(1), pages 61-90.
- Jérôme Creel & Paul Hubert & Mathilde Viennot, 2013.
"Assessing the interest rate and bank lending channels of ECB monetary policies,"
Documents de Travail de l'OFCE
2013-25, Observatoire Francais des Conjonctures Economiques (OFCE).
- Jerome Creel & Paul Hubert & Mathilde Viennot, 2013. "Assessing the Interest Rate and Bank Lending Channels of ECB Monetary Policies," Working papers wpaper34, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.
- Jérôme Creel & Mathilde Viennot & Paul Hubert, 2013. "Assessing the Interest Rate and Bank Lending Channels of ECB Monetary Policies," Sciences Po publications 2013-25, Sciences Po.
- Jérôme Creel & Mathilde Viennot & Paul Hubert, 2013. "Assessing the Interest Rate and Bank Lending Channels of ECB Monetary Policies," SciencePo Working papers Main hal-01064261, HAL.
- Jérôme Creel & Mathilde Viennot & Paul Hubert, 2013. "Assessing the Interest Rate and Bank Lending Channels of ECB Monetary Policies," Working Papers hal-01064261, HAL.
- Alain Monfort & Jean-Paul Renne, 2013.
"Default, Liquidity, and Crises: an Econometric Framework,"
The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 11(2), pages 221-262, March.
- Alain Monfort & Jean-Paul Renne, 2010. "Default, Liquidity and Crises : An Econometric Framework," Working Papers 2010-46, Center for Research in Economics and Statistics.
- Monfort, A. & Renne, J-P., 2011. "Default, liquidity and crises: an econometric framework," Working papers 340, Banque de France.
- Cho‐Hoi Hui & Hans Genberg & Tsz‐Kin Chung, 2011.
"Funding liquidity risk and deviations from interest‐rate parity during the financial crisis of 2007–2009,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 16(4), pages 307-323, October.
- 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.
- Yang Chang & Erik Schlogl, 2014. "A Consistent Framework for Modelling Basis Spreads in Tenor Swaps," Research Paper Series 348, Quantitative Finance Research Centre, University of Technology, Sydney.
- repec:hal:spmain:info:hdl:2441/f6h8764enu2lskk9p4sg18u8h is not listed on IDEAS
- Baig, Ahmed & Winters, Drew B., 2018. "A preferred habitat for liquidity in term repos: Before, during and after the financial crisis," Journal of Economics and Business, Elsevier, vol. 99(C), pages 1-14.
- Vincent Brousseau & Kleopatra Nikolaou & Huw Pill, 2014. "Modeling Money Market Spreads: What Do We Learn about Refinancing Risk?," Finance and Economics Discussion Series 2014-112, Board of Governors of the Federal Reserve System (U.S.).
- Abbassi, Puriya & Linzert, Tobias, 2012.
"The effectiveness of monetary policy in steering money market rates during the financial crisis,"
Journal of Macroeconomics, Elsevier, vol. 34(4), pages 945-954.
- Abbassi, Puriya & Linzert, Tobias, 2012. "The effectiveness of monetary policy in steering money market rates during the financial crisis," Discussion Papers 14/2012, Deutsche Bundesbank.
- Ayoub Gargouri & Van Son Lai & Issouf Soumaré, 2016. "Revisiting Interest Rate Swap Valuation with Counterparty Risk, Wrong-Way Risk and OIS Discount," Working Papers 2016-003, Department of Research, Ipag Business School.
- Baba, Naohiko & Packer, Frank, 2009.
"Interpreting deviations from covered interest parity during the financial market turmoil of 2007-08,"
Journal of Banking & Finance, Elsevier, vol. 33(11), pages 1953-1962, November.
- 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.
- 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.
- Ebru Yuksel & Kývýlcým Metin Ozcan & Ozan Hatipoglu, 2012. "A Survey on Time Varying Parameter Taylor Rule: A Model Modified with Interest Rate Pass Through," Working Papers 2012/08, Bogazici University, Department of Economics.
- Aneta Hryckiewicz & Piotr Mielus & Karolina Skorulska & Malgorzata Snarska, 2018. "Does a bank levy increase frictions on the interbank market?," KAE Working Papers 2018-033, Warsaw School of Economics, Collegium of Economic Analysis.
- Cottrell, Simon & Yu, Xiao & Delpachitra, Sarath & Ma, Yihong, 2021. "What determines wholesale funding costs of the global systemically important banks?," Journal of Banking & Finance, Elsevier, vol. 132(C).
- Christopher Martin & C Milas, 2010.
"Financial Stability and Monetary Policy,"
Department of Economics Working Papers
05/10, University of Bath, Department of Economics.
- Christopher Martin & Costas Milas, 2010. "Financial Stability and Monetary Policy," Working Paper series 12_10, Rimini Centre for Economic Analysis.
- Gary Gorton, 2008.
"The panic of 2007,"
Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 131-262.
- Gary B. Gorton, 2008. "The Panic of 2007," NBER Working Papers 14358, National Bureau of Economic Research, Inc.
- Gary Gorton, 2008. "The Panic of 2007," Yale School of Management Working Papers amz2372, Yale School of Management.
- 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, vol. 37(5), pages 1340-1358.
- Antonio De Socio, 2011. "The interbank market after the financial turmoil: squeezing liquidity in a "lemons market" or asking liquidity "on tap"," Temi di discussione (Economic working papers) 819, Bank of Italy, Economic Research and International Relations Area.
- Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
- repec:hal:spmain:info:hdl:2441/7erap6chdi854b9ao9a3v1e9b9 is not listed on IDEAS
- Woon Wong & Iris Biefang-Frisancho Mariscal & Peter Howells, 2019.
"Liquidity and credit risks in the UK’s financial crisis: how ‘quantitative easing’ changed the relationship,"
Applied Economics, Taylor & Francis Journals, vol. 51(3), pages 278-287, January.
- Woon K. Wong & Iris Biefang-Frisancho Mariscal & Wanru Yao & Peter Howells, 2016. "Liquidity and Credit Risks in the UK s Financial Crisis: How Quantitative Easing changed the relationship," Cardiff Economics Working Papers E2016/9, Cardiff University, Cardiff Business School, Economics Section.
- Alfred Wong & Jiayue Zhang, 2018. "Breakdown of covered interest parity: mystery or myth?," BIS Papers chapters, in: Bank for International Settlements (ed.), The price, real and financial effects of exchange rates, volume 96, pages 57-78, Bank for International Settlements.
- 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.
- 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.
- Stefano Marzioni, 2011. "Monetary Policy, Liquidity Stress and Learning Dynamics," Working Papers CASMEF 1102, Dipartimento di Economia e Finanza, LUISS Guido Carli.
- Thomas B. King & Kurt F. Lewis, 2020.
"Credit Risk, Liquidity, and Lies,"
International Journal of Central Banking, International Journal of Central Banking, vol. 16(5), pages 219-267, October.
- Thomas B. King & Kurt F. Lewis, 2015. "Credit Risk, Liquidity and Lies," Finance and Economics Discussion Series 2015-112, Board of Governors of the Federal Reserve System (U.S.).
- Acharya, Viral V. & Skeie, David, 2011.
"A model of liquidity hoarding and term premia in inter-bank markets,"
Journal of Monetary Economics, Elsevier, vol. 58(5), pages 436-447.
- Viral V. Acharya & David R. Skeie, 2011. "A model of liquidity hoarding and term premia in inter-bank markets," Staff Reports 498, Federal Reserve Bank of New York.
- Acharya, Viral & Skeie, David, 2011. "A Model of Liquidity Hoarding and Term Premia in Inter-Bank Markets," CEPR Discussion Papers 8705, C.E.P.R. Discussion Papers.
- Pelizzon, Loriana & Sartore, Domenico, 2013.
"Deciphering the Libor and Euribor Spreads during the subprime crisis,"
The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 565-585.
- Loriana Pelizzon & Domenico Sartore, 2013. "Deciphering the Libor and Euribor Spreads during the subprime crisis," Working Papers 2013: 14, Department of Economics, University of Venice "Ca' Foscari".
- Morten L Bech & Cyril Monnet, 2013. "The Impact of Unconventional Monetary Policy on the Overnight Interbank Market," RBA Annual Conference Volume (Discontinued), in: Alexandra Heath & Matthew Lilley & Mark Manning (ed.),Liquidity and Funding Markets, Reserve Bank of Australia.
- Aït-Sahalia, Yacine & Andritzky, Jochen & Jobst, Andreas & Nowak, Sylwia & Tamirisa, Natalia, 2012.
"Market response to policy initiatives during the global financial crisis,"
Journal of International Economics, Elsevier, vol. 87(1), pages 162-177.
- 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.
- 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, vol. 0, pages 59-122, February.
- Kuga Iakov & Elena Kuzmina, 2016. "Covered interest parity: evidence from Russian money market," EERC Working Paper Series 16/01e, EERC Research Network, Russia and CIS.
- Patrick McGuire & Goetz von Peter, 2008. "International banking activity amidst the turmoil," BIS Quarterly Review, Bank for International Settlements, June.
- Ahmed S. Baig & Drew B. Winters, 2021. "Month-End Regularities in the Overnight Bank Funding Markets," JRFM, MDPI, vol. 14(5), pages 1-16, May.
- Muhammad Omer & Jakob de Haan & Bert Scholtens, 2019.
"Does Uncovered Interest Rate Parity Hold After All?,"
Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 24(2), pages 49-72, July-Dec.
- Omer, Muhammad & de Haan, Jakob & Scholtens, Bert, 2013. "Does Uncovered Interest rate Parity Hold After All?," MPRA Paper 47572, University Library of Munich, Germany.
- Muhammad Omer & Jakob de Haan & Bert Scholtens, 2013. "Does Uncovered Interest Rate Parity Hold After All?," SBP Working Paper Series 57, State Bank of Pakistan, Research Department.
- Gang Bai & Chunhui Chen, 2023. "Managing Information Sensitivity: The Relationship between the Interbank Offered Rate and the Characteristics of Bank-Issued Wealth Management Products in China," Sustainability, MDPI, vol. 15(2), pages 1-19, January.
- Jérôme Creel & Paul Hubert & Mathilde Viennot, 2016.
"The effect of ECB monetary policies on interest rates and volumes,"
Applied Economics, Taylor & Francis Journals, vol. 48(47), pages 4477-4501, October.
- Jérôme Creel & Paul Hubert & Mathilde Viennot, 2015. "The Effect of ECB Monetary Policies on Interest Rates and Volumes," Working Papers hal-03459679, HAL.
- Jérôme Creel & Paul Hubert & Mathilde Viennot, 2015. "The Effect of ECB Monetary Policies on Interest Rates and Volumes," Sciences Po publications 2015-26, Sciences Po.
- Jérôme Creel & Paul Hubert & Mathilde Viennot, 2015. "The effect of ECB monetary policies on interest rates and volumes," Documents de Travail de l'OFCE 2015-26, Observatoire Francais des Conjonctures Economiques (OFCE).
- Jérôme Creel & Paul Hubert & Mathilde Viennot, 2015. "The Effect of ECB Monetary Policies on Interest Rates and Volumes," SciencePo Working papers Main hal-03459679, HAL.
- repec:uts:finphd:41 is not listed on IDEAS
- Bertrand Blancheton & Christian Bordes & Samuel Maveyraud & Philippe Rous, 2012.
"Risk of liquidity and contagion of the crisis on the US, UK and Euro Zone money markets,"
Post-Print
hal-01098954, HAL.
- Bertrand Blancheton & Christian Bordes & Samuel Maveyraud & Philippe Rous, 2012. "Risk of liquidity and contagion of the crisis on the US, UK and Euro Zone money markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01098954, HAL.
- Vladyslav Sushko & Claudio Borio & Robert Neil McCauley & Patrick McGuire, 2016. "The failure of covered interest parity: FX hedging demand and costly balance sheets," BIS Working Papers 590, Bank for International Settlements.
- Gefang, Deborah & Koop, Gary & Potter, Simon M., 2011.
"Understanding liquidity and credit risks in the financial crisis,"
Journal of Empirical Finance, Elsevier, vol. 18(5), pages 903-914.
- Deborah Gefang & Gary Koop & Simon M. Potter, 2010. "Understanding Liquidity and Credit Risks in the Financial Crisis," Working Paper series 45_10, Rimini Centre for Economic Analysis.
- Gefang, Deborah & Koop, Gary & Potter, Simon M., 2011. "Understanding Liquidity and Credit Risks in the Financial Crisis," SIRE Discussion Papers 2011-26, Scottish Institute for Research in Economics (SIRE).
- Deborah Gefang & Gary Koop & Simon Potter, 2011. "Understanding Liquidity and Credit Risks in the Financial Crisis," Working Papers 1114, University of Strathclyde Business School, Department of Economics.
- David Hou Author-Name: David Skeie, 2013.
"LIBOR: origins, economics, crisis, scandal and reform,"
The New Palgrave Dictionary of Economics,,
Palgrave Macmillan.
- David Hou & David R. Skeie, 2014. "LIBOR: origins, economics, crisis, scandal, and reform," Staff Reports 667, Federal Reserve Bank of New York.
- Dubecq, Simon & Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2016.
"Credit and liquidity in interbank rates: A quadratic approach,"
Journal of Banking & Finance, Elsevier, vol. 68(C), pages 29-46.
- Dubecq, S. & Monfort, A. & Renne, J-P. & Roussellet, G., 2013. "Credit and Liquidity in Interbank Rates: a Quadratic Approach," Working papers 446, Banque de France.
- Lafuente, Juan Ángel & Petit, Nuria & Serrano, Pedro, 2018. "Forecasting multiple-term structures from interbank rates," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 40-56.
- Wenqian Huang & Karamfil Todorov, 2022. "The post-Libor world: a global view from the BIS derivatives statistics," BIS Quarterly Review, Bank for International Settlements, December.
- Bianchetti, Marco & Carlicchi, Mattia, 2012. "Markets Evolution After the Credit Crunch," MPRA Paper 44023, University Library of Munich, Germany.
- Enenajor, Emanuella & Sebastian, Alex & Witmer, Jonathan, 2012.
"An assessment of the Bank of Canada's term PRA facility,"
The North American Journal of Economics and Finance, Elsevier, vol. 23(1), pages 123-143.
- Emanuella Enenajor & Alex Sebastian & Jonathan Witmer, 2010. "An Assessment of the Bank of Canada's Term PRA Facility," Staff Working Papers 10-20, Bank of Canada.
- Alexander Bechtel & Angelo Ranaldo & Jan Wrampelmeyer, 2023.
"Liquidity Risk and Funding Cost,"
Review of Finance, European Finance Association, vol. 27(2), pages 399-422.
- Alexander Bechtel & Angelo Ranaldo & Jan Wrampelmeyer, 2019. "Liquidity Risk and Funding Cost," Working Papers on Finance 1903, University of St. Gallen, School of Finance, revised Aug 2020.
- Mayu Kikuchi & Alfred Wong & Jiayue Zhang, 2019. "Risk of window dressing: quarter-end spikes in the Japanese yen Libor-OIS spread," Journal of Regulatory Economics, Springer, vol. 56(2), pages 149-166, December.
- Mr. Heiko Hesse & Nathaniel Frank & Ms. Brenda Gonzalez-Hermosillo, 2008. "Transmission of Liquidity Shocks: Evidence from the 2007 Subprime Crisis," IMF Working Papers 2008/200, International Monetary Fund.
- Muto, Ichiro, 2017.
"The role of the reference rate in an interbank market with imperfect information,"
Global Finance Journal, Elsevier, vol. 34(C), pages 16-31.
- Muto, Ichiro, 2012. "A Simple Interest Rate Model with Unobserved Components: The Role of the Interbank Reference Rate," MPRA Paper 43220, University Library of Munich, Germany.
- Ichiro Muto, 2012. "A Simple Interest Rate Model with Unobserved Components: The Role of the Interbank Reference Rate," Bank of Japan Working Paper Series 12-E-10, Bank of Japan.
- Iris Biefang Frisancho-Mariscal & Peter Howells, 2010. "Interest rate pass-through and risk," Working Papers 1016, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
- 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, vol. 31(3), pages 534-551.
- Rajmund MIRDALA, 2015.
"Decomposing Euro Area Sovereign Debt Yields into Inflation Expectations and Expected Real Interest Rates,"
Journal of Advanced Research in Law and Economics, ASERS Publishing, vol. 6(4), pages 714-737.
- Mirdala, Rajmund, 2015. "Decomposing Euro Area Sovereign Debt Yields into Inflation Expectations and Expected Real Interest Rates," MPRA Paper 68866, University Library of Munich, Germany, revised Nov 2015.
- 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.
- Eross, Andrea & Urquhart, Andrew & Wolfe, Simon, 2016. "Liquidity risk contagion in the interbank market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 45(C), pages 142-155.
- Alexius, Annika & Birenstam, Helene & Eklund, Johanna, 2014.
"The interbank market risk premium, central bank interventions, and measures of market liquidity,"
Journal of International Money and Finance, Elsevier, vol. 48(PA), pages 202-217.
- Alexius, Annika & Birenstam, Helene & Eklund, Johanna, 2014. "The interbank market risk premium, central bank interventions, and measures of market liquidity," Research Papers in Economics 2014:2, Stockholm University, Department of Economics.
- V. Brousseau & Alexandre Chailloux & Alain Durré, 2013. "Fixing the Fixings: What Road to a More Representative Money Market Benchmark?," IMF Working Papers 2013/131, International Monetary Fund.
- repec:hal:spmain:info:hdl:2441/1plbkk1i83dqp9vh69uffirf is not listed on IDEAS
- Tapking, Jens & Eisenschmidt, Jens, 2009. "Liquidity risk premia in unsecured interbank money markets," Working Paper Series 1025, European Central Bank.
- Olivier Brossard & Susanna Saroyan, 2016. "Hoarding and short-squeezing in times of crisis: Evidence from the Euro overnight money market," Post-Print hal-01293693, HAL.
- Gallitschke, Janek & Seifried (née Müller), Stefanie & Seifried, Frank Thomas, 2017. "Interbank interest rates: Funding liquidity risk and XIBOR basis spreads," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 142-152.
- Lloyd, Simon P., 2020.
"Estimating nominal interest rate expectations: Overnight indexed swaps and the term structure,"
Journal of Banking & Finance, Elsevier, vol. 119(C).
- Lloyd, S. P., 2017. "Estimating Nominal Interest Rate Expectations: Overnight Indexed Swaps and the Term Structure," Cambridge Working Papers in Economics 1734, Faculty of Economics, University of Cambridge.
- Lloyd, Simon, 2018. "Estimating nominal interest rate expectations: overnight indexed swaps and the term structure," Bank of England working papers 763, Bank of England.
- Paolo Angelini & Andrea Nobili & Cristina Picillo, 2011.
"The Interbank Market after August 2007: What Has Changed, and Why?,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(5), pages 923-958, August.
- Paolo Angelini & Andrea Nobili & Cristina Picillo, 2011. "The Interbank Market after August 2007: What Has Changed, and Why?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(5), pages 923-958, August.
- Paolo Angelini & Andrea Nobili & Maria Cristina Picillo, 2009. "The interbank market after August 2007: what has changed, and why?," Temi di discussione (Economic working papers) 731, Bank of Italy, Economic Research and International Relations Area.
- 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, vol. 36(12), pages 3185-3196.
- Shin-ichi Fukuda, 2010. "Market-specific and Currency-specific Risk during the Global Financial Crisis: Evidence from the Interbank Markets in Tokyo and London," CIRJE F-Series CIRJE-F-759, CIRJE, Faculty of Economics, University of Tokyo.
- 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.
- Shin-ichi Fukuda, 2010. "Market-specific and Currency-specific Risk during the Global Financial Crisis: Evidence from the Interbank Markets in Tokyo and London," CARF F-Series CARF-F-229, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Fang, Ming & Taylor, Stephen & Uddin, Ajim, 2022. "The network structure of overnight index swap rates," Finance Research Letters, Elsevier, vol. 46(PB).
- Nuno Cassola & Ali Hortaçsu & Jakub Kastl, 2013.
"The 2007 Subprime Market Crisis Through the Lens of European Central Bank Auctions for Short‐Term Funds,"
Econometrica, Econometric Society, vol. 81(4), pages 1309-1345, July.
- Nuno Cassola & Ali Hortacsu & Jakub Kastl, "undated". "The 2007 Subprime Market Crisis Through the Lens of European Central Bank Auctions for Short-Term Funds," Discussion Papers 08-039, Stanford Institute for Economic Policy Research.
- 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 1374, European Central Bank.
- Nuno Cassola & Ali Hortacsu & Jakub Kastl, 2009. "The 2007 Subprime Market Crisis Through the Lens of European Central Bank Auctions for Short-Term Funds," NBER Working Papers 15158, National Bureau of Economic Research, Inc.
- Dr. Petra Gerlach & Dr. Barbara Rudolf, 2010.
"Macroeconomic and interest rate volatility under alternative monetary operating procedures,"
Working Papers
2010-12, Swiss National Bank.
- Petra Gerlach-Kristen & Barbara Rudolf, 2010. "Macroeconomic and interest rate volatility under alternative monetary operating procedures," BIS Working Papers 319, Bank for International Settlements.
- Ansgar Belke & Jens Klose, 2012. "Modifying Taylor Reaction Functions in Presence of the Zero-Lower-Bound – Evidence for the ECB and the Fed," Ruhr Economic Papers 0343, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
- Belke, Ansgar & Klose, Jens, 2010.
"(How) Do the ECB and the Fed React to Financial Market Uncertainty? – The Taylor Rule in Times of Crisis,"
Ruhr Economic Papers
166, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Ansgar Belke & Jens Klose, 2010. "(How) Do the ECB and the Fed React to Financial Market Uncertainty?: The Taylor Rule in Times of Crisis," Discussion Papers of DIW Berlin 972, DIW Berlin, German Institute for Economic Research.
- Karolina Puławska, 2022. "Effects of the bank levy introduction on the interbank market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 844-864, January.
- repec:spo:wpmain:info:hdl:2441/7erap6chdi854b9ao9a3v1e9b9 is not listed on IDEAS
- 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, vol. 28(8), pages 1350-1374, December.
- 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.
- 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.
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