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Behavior of Libor in the current financial crisis

Author

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  • Simon H. Kwan

Abstract

This Letter explores the behavior of the risk premium in Libor rates during the current crisis, considering both the credit risk portion and the liquidity risk portion.

Suggested Citation

  • Simon H. Kwan, 2009. "Behavior of Libor in the current financial crisis," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue jan23.
  • Handle: RePEc:fip:fedfel:y:2009:i:jan23:n:2009-04
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    File URL: http://www.frbsf.org/publications/economics/letter/2009/el2009-04.html
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    File URL: http://www.frbsf.org/publications/economics/letter/2009/el2009-04.pdf
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    Cited by:

    1. Flannery, Mark J. & Kwan, Simon H. & Nimalendran, Mahendrarajah, 2013. "The 2007–2009 financial crisis and bank opaqueness," Journal of Financial Intermediation, Elsevier, vol. 22(1), pages 55-84.
    2. Trapp, Rouven & Weiß, Gregor N.F., 2016. "Derivatives usage, securitization, and the crash sensitivity of bank stocks," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 183-205.
    3. Ji, Philip Inyeob, 2012. "Time-varying financial stress linkages: Evidence from the LIBOR-OIS spreads," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 647-657.
    4. Titelman Kardonsky, Daniel & Pérez Caldentey, Esteban & Pineda Salazar, Ramón, 2009. "The bigness of smallness: the financial crisis, its contagion mechanisms and its effects in Latin America," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), December.
    5. Tamakoshi, Go & Hamori, Shigeyuki, 2014. "On cross-currency transmissions between US dollar and euro LIBOR-OIS spreads," Research in International Business and Finance, Elsevier, vol. 30(C), pages 83-90.
    6. Cui, Jin & In, Francis & Maharaj, Elizabeth Ann, 2016. "What drives the Libor–OIS spread? Evidence from five major currency Libor–OIS spreads," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 358-375.

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    Keywords

    Interest rates ; Money market;

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