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Distress in money markets during the global financial crisis : an analysis of co-movement and transmission

Ito, Takayasu - In: The IUP journal of applied finance : IJAF 19 (2013) 1, pp. 72-85

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The impact of monetary policy expectations on interbank interest rates in Malaysia

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Monetary policy expectations and the Malaysian deposit market : analysis of Islamic rates of return and conventional interest rates

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Do monetary policy expectations influence transmission mechanism of Danish interbank market under the negative interest rate policy?

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The formation of interbank interest rates and treasury bill yields in Japan under different regimes of non-traditional monetary policy

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Distress in Money Markets During the Global Financial Crisis : An Analysis of Co-Movement and Transmission

Ito, Takayasu - 2013

This paper aims to investigate the co-movement and transmission of distress through money markets during the global financial crisis by analyzing LIBOR-OIS spreads. It focuses on the US, Eurozone, UK and Japan. The sample is divided into two periods around the time of Lehman Brothers shock to...

Persistent link: https://www.econbiz.de/10013087935