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How Correlated is LIBOR with Bank Funding Costs?

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Abstract

In a recent article in the BIS Quarterly Review, authors Schrimpf and Sushko (2019) provide an overview of the LIBOR transition to risk-free rates led by the FSB Official Sector Steering Group (OSSG). They also argue that rates like LIBOR may be desirable because banks “require a lending benchmark that behaves not too differently from the rates at which they raise funding.”

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  • David Bowman & Chiara Scotti & Cindy M. Vojtech, 2020. "How Correlated is LIBOR with Bank Funding Costs?," FEDS Notes 2020-06-29, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgfn:2020-06-29
    DOI: 10.17016/2380-7172.2539
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    File URL: https://www.federalreserve.gov//econres/notes/feds-notes/how-correlated-is-libor-with-bank-funding-costs-20200629.htm
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    Cited by:

    1. Darrell Duffie & Cooperman Harry & Stephan Luck & Zachry Wang & Yilin Yang, 2022. "Bank Funding Risk, Reference Rates, and Credit Supply," Staff Reports 1042, Federal Reserve Bank of New York.
    2. Indriawan, Ivan & Jiao, Feng & Tse, Yiuman, 2022. "Price discovery between forward-looking SOFR and LIBOR," Finance Research Letters, Elsevier, vol. 47(PB).

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