Dissecting interbank risk using basis swap spreads
Author
Abstract
Suggested Citation
DOI: 10.1111/twec.12878
Download full text from publisher
References listed on IDEAS
- Groba, Jonatan & Lafuente, Juan A. & Serrano, Pedro, 2013. "The impact of distressed economies on the EU sovereign market," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2520-2532.
- Andolfatto, David & Hendry, Scott & Moran, Kevin, 2008.
"Are inflation expectations rational?,"
Journal of Monetary Economics, Elsevier, vol. 55(2), pages 406-422, March.
- David Andolfatto & Scott Hendry & Kevin Moran, 2005. "Are Inflation Expectations Rational?," Macroeconomics 0501002, University Library of Munich, Germany.
- David Andolfatto & Scott Hendry & Kevin Moran, 2007. "Are Inflation Expectations Rational?," Working Paper series 27_07, Rimini Centre for Economic Analysis.
- Craig Burnside & Bing Han & David Hirshleifer & Tracy Yue Wang, 2011.
"Investor Overconfidence and the Forward Premium Puzzle,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 78(2), pages 523-558.
- Craig Burnside & Bing Han & David Hirshleifer & Tracy Yue Wang, 2010. "Investor Overconfidence and the Forward Premium Puzzle," NBER Working Papers 15866, National Bureau of Economic Research, Inc.
- A. Craig Burnside & Bing Han & David A. Hirshleifer & Tracy Yue Wang, 2010. "Investor Overconfidence and the Forward Premium Puzzle," Working Papers 10-46, Duke University, Department of Economics.
- Anne-Laure Delatte & Julien Fouquau & Richard Portes, 2017.
"Regime-Dependent Sovereign Risk Pricing During the Euro Crisis,"
Review of Finance, European Finance Association, vol. 21(1), pages 363-385.
- Delatte, Anne-Laure & Fouquau, Julien & Portes, Richard, 2016. "Regime-dependent sovereign risk pricing during the euro crisis," ESRB Working Paper Series 9, European Systemic Risk Board.
- Richard Portes & Julien Fouquau & Anne-Laure Delatte, 2017. "Regime-Dependent Sovereign Risk Pricing During the Euro Crisis," Post-Print hal-01663123, HAL.
- Díaz, Antonio & Groba, Jonatan & Serrano, Pedro, 2013. "What drives corporate default risk premia? Evidence from the CDS market," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 529-563.
- Diebold, Francis X. & Li, Canlin, 2006.
"Forecasting the term structure of government bond yields,"
Journal of Econometrics, Elsevier, vol. 130(2), pages 337-364, February.
- Francis X. Diebold & Canlin Li, 2002. "Forecasting the Term Structure of Government Bond Yields," Center for Financial Institutions Working Papers 02-34, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Francis X. Diebold & Canlin Li, 2003. "Forecasting the Term Structure of Government Bond Yields," NBER Working Papers 10048, National Bureau of Economic Research, Inc.
- Diebold, Francis X. & Li, Canlin, 2003. "Forecasting the term structure of government bond yields," CFS Working Paper Series 2004/09, Center for Financial Studies (CFS).
- White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
- Tapking, Jens & Eisenschmidt, Jens, 2009. "Liquidity risk premia in unsecured interbank money markets," Working Paper Series 1025, European Central Bank.
- 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.
- Robin Greenwood & Dimitri Vayanos, 2014.
"Bond Supply and Excess Bond Returns,"
The Review of Financial Studies, Society for Financial Studies, vol. 27(3), pages 663-713.
- Robin Greenwood & Dimitri Vayanos, 2008. "Bond Supply and Excess Bond Returns," NBER Working Papers 13806, National Bureau of Economic Research, Inc.
- Vayanos, Dimitri & Greenwood, Robin, 2008. "Bond Supply and Excess Bond Returns," CEPR Discussion Papers 6694, C.E.P.R. Discussion Papers.
- Greenwood, Robin & Vayanos, Dimitri, 2008. "Bond supply and excess bond returns," LSE Research Online Documents on Economics 24425, London School of Economics and Political Science, LSE Library.
- Dimitri Vayanos & Robin Greenwood, 2008. "Bond Supply and Excess Bond Returns," FMG Discussion Papers dp607, Financial Markets Group.
- Filipović, Damir & Trolle, Anders B., 2013. "The term structure of interbank risk," Journal of Financial Economics, Elsevier, vol. 109(3), pages 707-733.
- Olson, Eric & Miller, Scott & Wohar, Mark E., 2012. "“Black Swans” before the “Black Swan” evidence from international LIBOR–OIS spreads," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1339-1357.
- Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2011.
"How Sovereign Is Sovereign Credit Risk?,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 3(2), pages 75-103, April.
- Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2007. "How Sovereign is Sovereign Credit Risk?," NBER Working Papers 13658, National Bureau of Economic Research, Inc.
- López-Espinosa, Germán & Moreno, Antonio & Rubia, Antonio & Valderrama, Laura, 2015.
"Systemic risk and asymmetric responses in the financial industry,"
Journal of Banking & Finance, Elsevier, vol. 58(C), pages 471-485.
- Mr. Germán López-Espinosa & Mr. Antonio Rubia & Ms. Laura Valderrama & Mr. Antonio Moreno, 2012. "Systemic Risk and Asymmetric Responses in the Financial Industry," IMF Working Papers 2012/152, International Monetary Fund.
- 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.
- Sarlin, Peter & Ramsay, Bruce A., 2015. "Ending over-lending: assessing systemic risk with debt to cash flow," Working Paper Series 1769, European Central Bank.
- Kremer, Manfred & Lo Duca, Marco & Holló, Dániel, 2012. "CISS - a composite indicator of systemic stress in the financial system," Working Paper Series 1426, European Central Bank.
- Robin Greenwood & Dimitri Vayanos, 2010.
"Price Pressure in the Government Bond Market,"
American Economic Review, American Economic Association, vol. 100(2), pages 585-590, May.
- Greenwood, Robin & Vayanos, Dimitri, 2010. "Price pressure in the government bond market," LSE Research Online Documents on Economics 28618, London School of Economics and Political Science, LSE Library.
- Jun Pan & Kenneth J. Singleton, 2008. "Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads," Journal of Finance, American Finance Association, vol. 63(5), pages 2345-2384, October.
- repec:ecb:ecbwps:20111426 is not listed on IDEAS
- Grace Xing Hu & Jun Pan & Jiang Wang, 2013.
"Noise as Information for Illiquidity,"
Journal of Finance, American Finance Association, vol. 68(6), pages 2341-2382, December.
- Xing Hu & Jun Pan & Jiang Wang, 2010. "Noise as Information for Illiquidity," NBER Working Papers 16468, National Bureau of Economic Research, Inc.
- Francis A. Longstaff & Arvind Rajan, 2008.
"An Empirical Analysis of the Pricing of Collateralized Debt Obligations,"
Journal of Finance, American Finance Association, vol. 63(2), pages 529-563, April.
- Francis A. Longstaff & Arvind Rajan, 2006. "An Empirical Analysis of the Pricing of Collateralized Debt Obligations," NBER Working Papers 12210, National Bureau of Economic Research, Inc.
- Rubia, Antonio & Sanchis-Marco, Lidia & Serrano, Pedro, 2016. "Market frictions and the pricing of sovereign credit default swaps," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 223-252.
- 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.
- John H. Cochrane, 1994. "Permanent and Transitory Components of GNP and Stock Prices," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 109(1), pages 241-265.
- François-Louis Michaud & Christian Upper, 2008. "What drives interbank rates? Evidence from the Libor panel," BIS Quarterly Review, Bank for International Settlements, March.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Zhang, Xiaoming & Wei, Chunyan & Lee, Chien-Chiang & Tian, Yiming, 2023. "Systemic risk of Chinese financial institutions and asset price bubbles," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Serrano, Pedro & Petit, Nuria & Lafuente Luengo, Juan Ángel, 2017. "Dissecting interbank risk," DEE - Working Papers. Business Economics. WB 24553, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
- 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.
- Lafuente, Juan Ángel & Petit, Nuria & Serrano, Pedro, 2019. "Pricing factors in multiple-term structures from interbank rates," Journal of International Money and Finance, Elsevier, vol. 91(C), pages 138-159.
- Filipović, Damir & Trolle, Anders B., 2013. "The term structure of interbank risk," Journal of Financial Economics, Elsevier, vol. 109(3), pages 707-733.
- 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.
- Nikolaos Karouzakis, 2021. "The role of time‐varying risk premia in international interbank markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5720-5745, October.
- Brossard, Olivier & Saroyan, Susanna, 2016. "Hoarding and short-squeezing in times of crisis: Evidence from the Euro overnight money market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 163-185.
- Lafuente, Juan Angel & Serrano, Pedro, 2015.
"On the compensation for illiquidity in sovereign credit markets,"
Journal of Multinational Financial Management, Elsevier, vol. 30(C), pages 83-100.
- Groba, Jonatan & Serrano, Pedro & Lafuente Luengo, Juan Ángel, 2014. "On the compensation for illiquidity in sovereign credit markets," DEE - Working Papers. Business Economics. WB wb142911, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
- 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.
- Rubia, Antonio & Sanchis-Marco, Lidia & Serrano, Pedro, 2016. "Market frictions and the pricing of sovereign credit default swaps," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 223-252.
- 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.).
- Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2020.
"Flights to Safety,"
The Review of Financial Studies, Society for Financial Studies, vol. 33(2), pages 689-746.
- Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2012. "Flights to Safety," Working Paper Research 230, National Bank of Belgium.
- Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2014. "Flights to Safety," Finance and Economics Discussion Series 2014-46, Board of Governors of the Federal Reserve System (U.S.).
- Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2019. "Flights To Safety," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 19/968, Ghent University, Faculty of Economics and Business Administration.
- Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2013. "Flights to Safety," NBER Working Papers 19095, National Bureau of Economic Research, Inc.
- Chamizo, Álvaro & Novales, Alfonso, 2020.
"Looking through systemic credit risk: Determinants, stress testing and market value,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 64(C).
- Álvaro Chamizo & Alfonso Novales, 2019. "Looking through systemic credit risk: determinants, stress testing and market value," Documentos de Trabajo del ICAE 2019-27, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- 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.
- Krista Schwarz, 2019. "Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads," Review of Finance, European Finance Association, vol. 23(3), pages 557-597.
- Díaz, Antonio & Groba, Jonatan & Serrano, Pedro, 2013. "What drives corporate default risk premia? Evidence from the CDS market," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 529-563.
- Arakelyan, Armen & Serrano, Pedro, 2016. "Liquidity in Credit Default Swap Markets," Journal of Multinational Financial Management, Elsevier, vol. 37, pages 139-157.
- 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.
- Driessen, Joost & Nijman, Theodore E. & Simon, Zorka, 2022. "A simple approach to estimate long-term interest rates," SAFE Working Paper Series 238, Leibniz Institute for Financial Research SAFE, revised 2022.
- Gerardo Manzo & Antonio Picca, 2020. "The Impact of Sovereign Shocks," Management Science, INFORMS, vol. 66(7), pages 3113-3132, July.
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:worlde:v:43:y:2020:i:3:p:729-757. See general information about how to correct material in RePEc.
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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley-Blackwell Digital Licensing or Christopher F. Baum (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0378-5920 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.