Decomposing LIBOR in transition: evidence from the futures markets

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Standard

Decomposing LIBOR in transition : evidence from the futures markets. / Skov, Jacob Bjerre; Skovmand, David.

I: Quantitative Finance, Bind 23, Nr. 6, 2023, s. 959-978.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Skov, JB & Skovmand, D 2023, 'Decomposing LIBOR in transition: evidence from the futures markets', Quantitative Finance, bind 23, nr. 6, s. 959-978. https://doi.org/10.1080/14697688.2023.2205438

APA

Skov, J. B., & Skovmand, D. (2023). Decomposing LIBOR in transition: evidence from the futures markets. Quantitative Finance, 23(6), 959-978. https://doi.org/10.1080/14697688.2023.2205438

Vancouver

Skov JB, Skovmand D. Decomposing LIBOR in transition: evidence from the futures markets. Quantitative Finance. 2023;23(6):959-978. https://doi.org/10.1080/14697688.2023.2205438

Author

Skov, Jacob Bjerre ; Skovmand, David. / Decomposing LIBOR in transition : evidence from the futures markets. I: Quantitative Finance. 2023 ; Bind 23, Nr. 6. s. 959-978.

Bibtex

@article{1099babad98e4b82ad926c65a816e849,
title = "Decomposing LIBOR in transition: evidence from the futures markets",
abstract = "Applying historical data from the USD LIBOR transition period, we estimate a joint model for SOFR, Federal Funds, and Eurodollar futures rates as well as spot USD LIBOR and term repo rates. The framework endogenously models basis spreads between each of the benchmark rates and allows for the decomposition of spreads. Modelling the LIBOR-OIS spread as credit and funding-liquidity roll-over risk, we find that the spike in the LIBOR-OIS spread during the onset of COVID-19 was mainly due to credit risk, while on average credit and funding-liquidity risk contribute equally to the spread.",
keywords = "Federal funds rate, Futures, LIBOR, Roll-over risk, SOFR",
author = "Skov, {Jacob Bjerre} and David Skovmand",
note = "Publisher Copyright: {\textcopyright} 2023 Informa UK Limited, trading as Taylor & Francis Group.",
year = "2023",
doi = "10.1080/14697688.2023.2205438",
language = "English",
volume = "23",
pages = "959--978",
journal = "Quantitative Finance",
issn = "1469-7688",
publisher = "Routledge",
number = "6",

}

RIS

TY - JOUR

T1 - Decomposing LIBOR in transition

T2 - evidence from the futures markets

AU - Skov, Jacob Bjerre

AU - Skovmand, David

N1 - Publisher Copyright: © 2023 Informa UK Limited, trading as Taylor & Francis Group.

PY - 2023

Y1 - 2023

N2 - Applying historical data from the USD LIBOR transition period, we estimate a joint model for SOFR, Federal Funds, and Eurodollar futures rates as well as spot USD LIBOR and term repo rates. The framework endogenously models basis spreads between each of the benchmark rates and allows for the decomposition of spreads. Modelling the LIBOR-OIS spread as credit and funding-liquidity roll-over risk, we find that the spike in the LIBOR-OIS spread during the onset of COVID-19 was mainly due to credit risk, while on average credit and funding-liquidity risk contribute equally to the spread.

AB - Applying historical data from the USD LIBOR transition period, we estimate a joint model for SOFR, Federal Funds, and Eurodollar futures rates as well as spot USD LIBOR and term repo rates. The framework endogenously models basis spreads between each of the benchmark rates and allows for the decomposition of spreads. Modelling the LIBOR-OIS spread as credit and funding-liquidity roll-over risk, we find that the spike in the LIBOR-OIS spread during the onset of COVID-19 was mainly due to credit risk, while on average credit and funding-liquidity risk contribute equally to the spread.

KW - Federal funds rate

KW - Futures

KW - LIBOR

KW - Roll-over risk

KW - SOFR

UR - http://www.scopus.com/inward/record.url?scp=85160422022&partnerID=8YFLogxK

U2 - 10.1080/14697688.2023.2205438

DO - 10.1080/14697688.2023.2205438

M3 - Journal article

AN - SCOPUS:85160422022

VL - 23

SP - 959

EP - 978

JO - Quantitative Finance

JF - Quantitative Finance

SN - 1469-7688

IS - 6

ER -

ID: 358722346