Beyond LIBOR: a primer on the new benchmark rates
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References listed on IDEAS
- Deborah Gefang & Gary Koop & Simon M. Potter, 2010. "Technical Appendix to: Understanding Liquidity and Credit Risks in the Financial Crisis," Working Paper series 46_10, Rimini Centre for Economic Analysis.
- Gefang, Deborah & Koop, Gary & Potter, Simon M., 2011.
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Blog mentionsAs found by EconAcademics.org, the blog aggregator for Economics research:
- Replacing LIBOR
by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2019-08-26 12:22:06
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Robert N McCauley & Catherine R Schenk, 2020. "Central bank swaps then and now: swaps and dollar liquidity in the 1960s," BIS Working Papers 851, Bank for International Settlements.
- Alfeus, Mesias & Grasselli, Martino & Schlögl, Erik, 2020.
"A consistent stochastic model of the term structure of interest rates for multiple tenors,"
Journal of Economic Dynamics and Control, Elsevier, vol. 114(C).
- Mesias Alfeus & Martino Grasselli & Erik Schlögl, 2017. "A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors," Research Paper Series 384, Quantitative Finance Research Centre, University of Technology, Sydney.
- Ralf Fendel & Jan Heins & Oliver Mohr, 2020. "The Effect of the ECBâ€™s Forward Guidance on Interest Rate Forecasts," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 12(8), pages 1-52, August.
More about this item
- D47 - Microeconomics - - Market Structure, Pricing, and Design - - - Market Design
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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