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A comparison of the information in the LIBOR and CMT term structures of interest rates

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  • Brooks, Robert
  • Cline, Brandon N.
  • Enders, Walter

Abstract

We investigate the information contained in the London Interbank Offered Rate (LIBOR) and the U.S. Constant Maturity Treasury (CMT) term structure of interest rates and report three novel findings. First, we document that the information contained in term structures are significantly different from one another. Second, we provide evidence of a significant change in the nature of this difference as the financial crisis began. Third, we find that the significant changes in the information content of CMT and LIBOR are consistent with significant shocks to credit default swap rates and tenor swap rates.

Suggested Citation

  • Brooks, Robert & Cline, Brandon N. & Enders, Walter, 2015. "A comparison of the information in the LIBOR and CMT term structures of interest rates," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 239-253.
    • Handle: RePEc:eee:jbfina:v:54:y:2015:i:c:p:239-253
    DOI: 10.1016/j.jbankfin.2015.01.006
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    References listed on IDEAS

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    8. Rosa Abrantes-Metz & Albert Metz, 2012. "How Far Can Screens Go in Distinguishing Explicit from Tacit Collusion? New Evidence on the Libor Setting," Antitrust Chronicle, Competition Policy International, vol. 3.
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    Cited by:

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    More about this item

    Keywords

    Term structure; Expectations hypothesis; LIBOR; Forward rates;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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