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The impact of the global financial crisis on the cross-currency linkage of LIBOR-OIS spreads

  • Ji, Philip Inyeob
  • In, Francis
Registered author(s):

    This article examines the impact of global financial crisis on cross-currency linkage of the LIBOR-OIS spread, a financial stress measure in interbank markets. The impulse response analysis is conducted in a multivariate setting, adopting the bias-corrected bootstrap as a means of statistical inference. The overall evidence suggests that the crisis has substantially changed the nature of the cross-currency interactions in liquidity stress. Also global money markets have failed to contain stress in US dollar funding and the role of the Japanese yen as a liquidity source appears to be significant, while these two currencies drive the cross-currency system of liquidity stress.

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    File URL: http://www.sciencedirect.com/science/article/B6VGT-50W80VJ-1/2/e91daf83e452495b395c619a545a0527
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    Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

    Volume (Year): 20 (2010)
    Issue (Month): 5 (December)
    Pages: 575-589

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    Handle: RePEc:eee:intfin:v:20:y:2010:i:5:p:575-589
    Contact details of provider: Web page: http://www.elsevier.com/locate/intfin

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