US($) interest rate and cross currency swaps after the LIBOR funeral: A corporate treasury primer
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Erik Heitfield & Yang-Ho Park, 2019. "Inferring Term Rates from SOFR Futures Prices," Finance and Economics Discussion Series 2019-014, Board of Governors of the Federal Reserve System (U.S.).
- Darrell Duffie & Piotr Dworczak & Haoxiang Zhu, 2017.
"Benchmarks in Search Markets,"
Journal of Finance, American Finance Association, vol. 72(5), pages 1983-2044, October.
- Darrell Duffie & Piotr Dworczak & Haoxiang Zhu, 2014. "Benchmarks in Search Markets," NBER Working Papers 20620, National Bureau of Economic Research, Inc.
- Piotr Dworczak & Haoxiang Zhu & Darrell Duffie, 2015. "Benchmarks in Search Markets," 2015 Meeting Papers 51, Society for Economic Dynamics.
- Duffie, Darrell & Dworczak, Piotr & Zhu, Haoxiang, 2014. "Benchmarks in Search Markets," Research Papers 3190, Stanford University, Graduate School of Business.
- Naohiko Baba & Frank Packer & Teppei Nagano, 2008. "The spillover of money market turbulence to FX swap and cross-currency swap markets," BIS Quarterly Review, Bank for International Settlements, March.
- Andreas Schrimpf & Vladyslav Sushko, 2019. "Beyond LIBOR: a primer on the new benchmark rates," BIS Quarterly Review, Bank for International Settlements, March.
- Kirti, Divya, 2022.
"What are reference rates for?,"
Journal of Banking & Finance, Elsevier, vol. 144(C).
- Mr. Divya Kirti, 2017. "What Are Reference Rates For?," IMF Working Papers 2017/013, International Monetary Fund.
- Michael A. Goldstein & Edith S. Hotchkiss & Erik R. Sirri, 2007. "Transparency and Liquidity: A Controlled Experiment on Corporate Bonds," The Review of Financial Studies, Society for Financial Studies, vol. 20(2), pages 235-273.
- Urban Jermann, 2024.
"Interest Received by Banks during the Financial Crisis: LIBOR vs Hypothetical SOFR Loans,"
Journal of Financial Services Research, Springer;Western Finance Association, vol. 65(2), pages 141-152, June.
- Urban Jermann, 2021. "Interest Received by Banks during the Financial Crisis: LIBOR vs Hypothetical SOFR Loans," NBER Working Papers 29614, National Bureau of Economic Research, Inc.
- Wai Kin Choy, 2003. "Introducing overnight indexed swaps," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 66, March.
- Bruce Tuckman, 2023. "Short-Term Rate Benchmarks: The Post-LIBOR Regime," Annual Review of Financial Economics, Annual Reviews, vol. 15(1), pages 473-491, November.
- Baba, Naohiko & Packer, Frank, 2009.
"Interpreting deviations from covered interest parity during the financial market turmoil of 2007-08,"
Journal of Banking & Finance, Elsevier, vol. 33(11), pages 1953-1962, November.
- Naohiko Baba & Frank Packer, 2008. "Interpreting deviations from covered interest parity during the financial market turmoil of 2007-08," BIS Working Papers 267, Bank for International Settlements.
- Fletcher, Donna J & Taylor, Larry W, 1996. ""Swap" Covered Interest Parity in Long-Date Capital Markets," The Review of Economics and Statistics, MIT Press, vol. 78(3), pages 530-538, August.
- Brophy, Thomas & Herrala, Niko & Jurado, Raquel & Katsalirou, Irene & Le Quéau, Léa & Lizarazo, Christian & O’Donnell, Seamus, 2019. "Role of cross currency swap markets in funding and investment decisions," Occasional Paper Series 228, European Central Bank.
- Bicksler, James & Chen, Andrew H, 1986. "An Economic Analysis of Interest Rate Swaps," Journal of Finance, American Finance Association, vol. 41(3), pages 645-655, July.
- Darrell Duffie & Jeremy C. Stein, 2015.
"Reforming LIBOR and Other Financial Market Benchmarks,"
Journal of Economic Perspectives, American Economic Association, vol. 29(2), pages 191-212, Spring.
- Duffie, Darrell & Stein, Jeremy C., 2014. "Reforming LIBOR and Other Financial-Market Benchmarks," Research Papers 3170, Stanford University, Graduate School of Business.
- Boehmer, Ekkehart & Megginson, William L, 1990. "Determinants of Secondary Market Prices for Developing Country Syndicated Loans," Journal of Finance, American Finance Association, vol. 45(5), pages 1517-1540, December.
- Bessembinder, Hendrik & Maxwell, William & Venkataraman, Kumar, 2006. "Market transparency, liquidity externalities, and institutional trading costs in corporate bonds," Journal of Financial Economics, Elsevier, vol. 82(2), pages 251-288, November.
- Goldberg, Michael A., 1982. "The pricing of the prime rate," Journal of Banking & Finance, Elsevier, vol. 6(2), pages 277-296, June.
- Lapp, John S, 1978. "The Determination of Savings and Loan Association Deposit Rates in the Absence of Rate Ceilings: A Cross-Section Approach," Journal of Finance, American Finance Association, vol. 33(1), pages 215-230, March.
- Wenqian Huang & Karamfil Todorov, 2022. "The post-Libor world: a global view from the BIS derivatives statistics," BIS Quarterly Review, Bank for International Settlements, December.
- Fletcher, Donna J. & Taylor, Larry W., 1994. "A non-parametric analysis of covered interest parity in long-date capital markets," Journal of International Money and Finance, Elsevier, vol. 13(4), pages 459-475, August.
- Filipović, Damir & Trolle, Anders B., 2013. "The term structure of interbank risk," Journal of Financial Economics, Elsevier, vol. 109(3), pages 707-733.
- Robert N McCauley, 2001. "Benchmark tipping in the money and bond markets," BIS Quarterly Review, Bank for International Settlements, March.
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1980. "An Analysis of Variable Rate Loan Contracts," Journal of Finance, American Finance Association, vol. 35(2), pages 389-403, May.
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.- Harry Cooperman & Darrell Duffie & Stephan Luck & Zachry Wang & Yilin (David) Yang, 2025.
"Bank Funding Risk, Reference Rates, and Credit Supply,"
Journal of Finance, American Finance Association, vol. 80(1), pages 5-56, February.
- 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.
- Harry R. Cooperman & Darrell Duffie & Stephan Luck & Zachry Z. Wang & Yilin Yang, 2023. "Bank Funding Risk, Reference Rates, and Credit Supply," NBER Working Papers 30907, National Bureau of Economic Research, Inc.
- Cooperman, Harry & Duffie, Darrell & Luck, Stephan & Wang, Zachry & Yang, Yilin (David), 2022. "Bank Funding Risk, Reference Rates, and Credit Supply," Research Papers 4066, Stanford University, Graduate School of Business.
- Klingler, Sven & Syrstad, Olav, 2025. "The SOFR discount," Journal of Financial Economics, Elsevier, vol. 164(C).
- Aquilina, Matteo & Ibikunle, Gbenga & Mollica, Vito & Steffen, Tom, 2022. "The visible hand: benchmarks, regulation, and liquidity," Journal of Financial Markets, Elsevier, vol. 61(C).
- Cerutti, Eugenio M. & Obstfeld, Maurice & Zhou, Haonan, 2021.
"Covered interest parity deviations: Macrofinancial determinants,"
Journal of International Economics, Elsevier, vol. 130(C).
- Eugenio M. Cerutti & Maurice Obstfeld & Haonan Zhou, 2020. "Covered Interest Parity Deviations: Macrofinancial Determinants," NBER Chapters, in: NBER International Seminar on Macroeconomics 2020, National Bureau of Economic Research, Inc.
- Eugenio M. Cerutti & Maurice Obstfeld & Haonan Zhou, 2019. "Covered Interest Parity Deviations: Macrofinancial Determinants," NBER Working Papers 26129, National Bureau of Economic Research, Inc.
- Obstfeld, Maurice & Cerutti, Eugenio & Zhou, Haonan, 2019. "Covered Interest Parity Deviations: Macrofinancial Determinants," CEPR Discussion Papers 13886, C.E.P.R. Discussion Papers.
- Mr. Eugenio M Cerutti & Mr. Maurice Obstfeld & Haonan Zhou, 2019. "Covered Interest Parity Deviations: Macrofinancial Determinants," IMF Working Papers 2019/014, International Monetary Fund.
- Vladimir Asriyan & William Fuchs & Brett Green, 2017.
"Information Spillovers in Asset Markets with Correlated Values,"
American Economic Review, American Economic Association, vol. 107(7), pages 2007-2040, July.
- William Fuchs & Brett Green & Vladimir Asriyan, 2015. "Information Spillovers in Asset Markets with Correlated Values," Working Papers 827, Barcelona School of Economics.
- Vladimir Asriyan & William Fuchs & Brett Green, 2015. "Information spillovers in asset markets with correlated values," Economics Working Papers 1482, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2016.
- Vladimir Asriyan, 2015. "Information Spillovers in Asset Markets with Correlated Values," 2015 Meeting Papers 711, Society for Economic Dynamics.
- Darrell Duffie, 2018.
"Financial Regulatory Reform After the Crisis: An Assessment,"
Management Science, INFORMS, vol. 64(10), pages 4835-4857, October.
- Duffie, Darrell, 2016. "Financial Regulatory Reform after the Crisis: An Assessment," Research Papers 3440, Stanford University, Graduate School of Business.
- Dagfinn Rime & Andreas Schrimpf & Olav Syrstad, 2017.
"Segmented money markets and covered interest parity arbitrage,"
BIS Working Papers
651, Bank for International Settlements.
- Dagfinn Rime & Andreas Schrimpf & Olav Syrstad, 2017. "Segmented money markets and covered interest parity arbitrage," Working Paper 2017/15, Norges Bank.
- Kirti, Divya, 2022.
"What are reference rates for?,"
Journal of Banking & Finance, Elsevier, vol. 144(C).
- Mr. Divya Kirti, 2017. "What Are Reference Rates For?," IMF Working Papers 2017/013, International Monetary Fund.
- Schultz, Paul & Song, Zhaogang, 2019. "Transparency and dealer networks: Evidence from the initiation of post-trade reporting in the mortgage backed security market," Journal of Financial Economics, Elsevier, vol. 133(1), pages 113-133.
- Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2024.
"The Term Structure of Covered Interest Rate Parity Violations,"
Journal of Finance, American Finance Association, vol. 79(3), pages 2077-2114, June.
- Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2020. "The Term Structure of Covered Interest Rate Parity Violations," NBER Working Papers 27231, National Bureau of Economic Research, Inc.
- Wenqian Huang & Karamfil Todorov, 2022. "The post-Libor world: a global view from the BIS derivatives statistics," BIS Quarterly Review, Bank for International Settlements, December.
- Daniel Kohler & Benjamin Müller, 2019. "Covered interest rate parity, relative funding liquidity and cross-currency repos," Working Papers 2019-05, Swiss National Bank.
- Baba, Naohiko & Sakurai, Yuji, 2011. "When and how US dollar shortages evolved into the full crisis? Evidence from the cross-currency swap market," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1450-1463, June.
- Albi Tola & Miriam Koomen & Amalia Repele, 2020. "Deviations from covered interest rate parity and capital outflows: The case of Switzerland," Working Papers 2020-08, Swiss National Bank.
- David-Pur, Lior & Galil, Koresh & Rosenboim, Mosi & Shapir, Offer Moshe, 2023. "Cross-currency basis swap spreads and corporate dollar funding," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
- Chernov, Mikhail & Augustin, Patrick & Schmid, Lukas & Song, Dongho, 2020. "The term structure of CIP violations," CEPR Discussion Papers 14774, C.E.P.R. Discussion Papers.
- Indriawan, Ivan & Jiao, Feng & Tse, Yiuman, 2022. "Price discovery between forward-looking SOFR and LIBOR," Finance Research Letters, Elsevier, vol. 47(PB).
- Suh, Sangwon & Kim, Young Ju, 2016. "Covered interest parity and arbitrage paradox in emerging markets: Evidence from the Korean market," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 161-176.
- James Brugler & Carole Comerton-Forde & J Spencer Martin, 2022. "Secondary Market Transparency and Corporate Bond Issuing Costs [Asset pricing and the bid–ask spread]," Review of Finance, European Finance Association, vol. 26(1), pages 43-77.
- Xuanjuan Chen & Jing-Zhi Huang & Zhenzhen Sun & Tong Yao & Tong Yu, 2020. "Liquidity Premium in the Eye of the Beholder: An Analysis of the Clientele Effect in the Corporate Bond Market," Management Science, INFORMS, vol. 66(2), pages 932-957, February.
More about this item
Keywords
LIBOR; Benchmark Reform; SOFR; Term SOFR; RFRs; Interest Rate Swaps; Cross Currency Swap; Corporate Treasury;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-IFN-2025-04-07 (International Finance)
- NEP-MON-2025-04-07 (Monetary Economics)
Statistics
Access and download statisticsCorrections
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:zbw:fsfmwp:314425. 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: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/hfbfide.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.