Search Results - subject:"Libor"

Overnight interbank rate volatility across liquidity states : key drivers and policy implications

Mukhtarov, Elmir; Hajili, Ali; Garayeva, Aygun; … - 2026

Effective monetary policy requires maintaining the short-term interbank rate close to the policy rate while limiting its volatility, ensuring smooth transmission, and reducing banks' liquidity and interest rate risks. This paper seeks to identify and explain the drivers of volatility in...

Persistent link: https://www.econbiz.de/10015614335

A model of network formation for the overnight interbank market : when is core-periphery an illusion?

Anufriev, Mikhail; Deghi, Andrea; Panchenko, Valentyn; … - In: Journal of economic theory : JET 231 (2026), pp. 1-30

Persistent link: https://www.econbiz.de/10015578346

US Treasury market default risk and global interbank liquidity risk

Cottrell, Simon; Lei, Jinghua; Ma, Yihong; Delpachitra, … - In: Borsa Istanbul Review 25 (2025) 1, pp. 66-78

driving factor of domestic interbank funding risk than domestic sovereign default risk across the five Libor counties … including Canada and Australia. We use equivalent-country interbank LIBOR-OIS spreads as a proxy for domestic interbank funding …

Persistent link: https://www.econbiz.de/10015334486

The effects of the LIBOR scandal on volatility and liquidity in LIBOR futures markets

Bachmair, Kilian - 2023

Persistent link: https://www.econbiz.de/10013530819

US ($) interest rate and cross currency swaps after the LIBOR funeral : a corporate treasury primer

Heidorn, Thomas; Liem, Erik; Requardt, Stefan; … - 2025

This paper examines the transition from LIBOR to SOFR in the US and maps out the consequences for European corporate … treasurers by showing how the application of SOFR in cash products and derivatives differs from LIBOR. As interest rate and cross …

Persistent link: https://www.econbiz.de/10015333448