IDEAS home Printed from https://ideas.repec.org/a/bla/manchs/v86y2018i5p559-585.html
   My bibliography  Save this article

The Behaviour of Interest Rate Spreads Prior to and After the Financial Crisis: Evidence Across OECD Countries

Author

Listed:
  • Nicholas Apergis
  • Arusha Cooray

Abstract

This study investigates the impact of the 2008 global financial crisis on interest rate spreads across OECD countries, using a number of panel methodological approaches, over the 1990–2015 period. We examine the differential impact of the global financial crisis on interest rate spreads by dividing the sample period into two, i.e. the period prior to and after the crisis. Having identified and estimated the impact of a number of drivers on interest rate spreads, the findings document that after the 2008 financial crisis, the sensitivity of spreads to its determinants turn out to be statistically significant and incorporate credit risk to a greater extent. The findings survive a number of robustness checks. The policy implications of the empirical findings are also discussed.

Suggested Citation

  • Nicholas Apergis & Arusha Cooray, 2018. "The Behaviour of Interest Rate Spreads Prior to and After the Financial Crisis: Evidence Across OECD Countries," Manchester School, University of Manchester, vol. 86(5), pages 559-585, September.
  • Handle: RePEc:bla:manchs:v:86:y:2018:i:5:p:559-585
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/manc.12216
    Download Restriction: no

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:manchs:v:86:y:2018:i:5:p:559-585. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley Content Delivery). General contact details of provider: http://edirc.repec.org/data/semanuk.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.