Decomposing LIBOR in transition: evidence from the futures markets
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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.
Originalsprog | Engelsk |
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Tidsskrift | Quantitative Finance |
Vol/bind | 23 |
Udgave nummer | 6 |
Sider (fra-til) | 959-978 |
Antal sider | 20 |
ISSN | 1469-7688 |
DOI | |
Status | Udgivet - 2023 |
Bibliografisk note
Publisher Copyright:
© 2023 Informa UK Limited, trading as Taylor & Francis Group.
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