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dc.contributor.authorIn, Francis H.
dc.contributor.authorCui, Jin
dc.contributor.authorMaharaj, Elizabeth Ann
dc.date.accessioned2017-05-10T03:03:30Z
dc.date.available2017-05-10T03:03:30Z
dc.date.issued2012
dc.identifier.issn0261-5606
dc.identifier.doi10.1016/j.jimonfin.2011.12.013
dc.identifier.urihttp://hdl.handle.net/10072/336467
dc.description.abstractDuring the subprime crisis, the U.S. Federal Reserve was concerned about widening spreads between overnight interbank lending rates such as the overnight index swap (OIS) and term London Interbank Offer Rate (Libor). Among the tools it used to counter the impact of the crisis, the innovative term auction facility (TAF) attracted much attention. We investigate the impact of the TAF on the Libor–OIS spread. We find that the TAF has clear initial and sustained expectation effects on the three-month Libor–OIS spread, but no real initial or short-term funding effects, which casts doubt on the usefulness of the TAF in reducing risk spreads. Since the subprime crisis also spilled across the interbank, commercial paper, and jumbo mortgage markets, we further examine the lead–lag relation between Libor–OIS, commercial paper, and jumbo spreads and the volatility transmission effects between them. For the period before the crisis, we find that the three markets behave largely independently. For the subprime crisis period, however, we find multidirectional lead–lag relations and one-way volatility transmission between these markets.
dc.description.peerreviewedYes
dc.languageEnglish
dc.language.isoeng
dc.publisherPergamon
dc.relation.ispartofpagefrom1106
dc.relation.ispartofpageto1125
dc.relation.ispartofissue5
dc.relation.ispartofjournalJournal of International Money and Finance
dc.relation.ispartofvolume31
dc.subject.fieldofresearchBanking, Finance and Investment not elsewhere classified
dc.subject.fieldofresearchApplied Economics
dc.subject.fieldofresearchEconometrics
dc.subject.fieldofresearchBanking, Finance and Investment
dc.subject.fieldofresearchcode150299
dc.subject.fieldofresearchcode1402
dc.subject.fieldofresearchcode1403
dc.subject.fieldofresearchcode1502
dc.titleThe impact of a new term auction facility on Libor-OIS spreads and volatility transmission between money and mortgage markets during the subprime crisis
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.hasfulltextNo Full Text
gro.griffith.authorIn, Francis H.


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