From turmoil to crisis: dislocations in the FX swap market before and after the failure of Lehman Brothers

This paper investigates dislocations in the foreign exchange (FX) swap market between the US dollar and three major European currencies. After the failure of Lehman Brothers in September 2008, deviations from covered interest parity (CIP) were negatively associated with the creditworthiness of US financial institutions (as well as that of European institutions), consistent with the deepening of a dollar liquidity problem into a global phenomenon. US dollar term funding auctions by the...

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Year of publication:	2009-07-01
Authors:	Baba, Naohiko ; Packer, Frank
Institutions:	Bank für Internationalen Zahlungsausgleich <Basel>
Subject:	Notenbank \| Central Bank \| Internationaler Kreditmarkt \| International credit market \| Lehman Brothers \| bankruptcy \| Adressenausfallrisiko \| counterparty risk

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Extent:	509952 bytes 40 p. application/pdf
Series:	Bank for International Settlement - Working Papers BIS Working Paper ; No 285 (2009)
Type of publication:	Book / Working Paper
Language:	English
Classification:	F31 - Foreign Exchange ; G15 - International Financial Markets ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints ; Global Resources
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10009138481