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dc.contributor.authorCui, Jin
dc.contributor.authorIn, Francis H.
dc.contributor.authorMaharaj, Elizabeth Ann
dc.date.accessioned2017-05-10T03:07:48Z
dc.date.available2017-05-10T03:07:48Z
dc.date.issued2016
dc.identifier.issn1059-0560
dc.identifier.doi10.1016/j.iref.2016.04.002
dc.identifier.urihttp://hdl.handle.net/10072/336469
dc.description.abstractWe investigate the determinants of five major currency Libor–OIS spread changes during the long run and interbank market distress periods. Consistent with recent studies, we find that systemic credit and counterparty risks, market liquidity, and volatility are spread determinants. However, the impact and relevance of these determinants change, depending on the stages of the interbank market crisis. We show that commercial bank leverage and the state of the economy are additional spread drivers. We also discover that the key USD spread is strongly related to banks' risk tolerance levels, capital concerns, and secondary market liquidity during the crisis, even after controlling for other factors.
dc.description.peerreviewedYes
dc.languageEnglish
dc.language.isoeng
dc.publisherElsevier
dc.relation.ispartofpagefrom358
dc.relation.ispartofpageto375
dc.relation.ispartofjournalInternational Review of Economics and Finance
dc.relation.ispartofvolume45
dc.subject.fieldofresearchBanking, Finance and Investment not elsewhere classified
dc.subject.fieldofresearchEconomic Theory
dc.subject.fieldofresearchApplied Economics
dc.subject.fieldofresearchBanking, Finance and Investment
dc.subject.fieldofresearchcode150299
dc.subject.fieldofresearchcode1401
dc.subject.fieldofresearchcode1402
dc.subject.fieldofresearchcode1502
dc.titleWhat drives the Libor-OIS spread? Evidence from five major currency Libor-OIS spreads
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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