Using Interest Rate Derivative Prices to Estimate LIBOR-OIS Spread Dynamics and Systemic Funding Liquidity Shock Probabilities
Publication in refereed journal

香港中文大學研究人員
替代計量分析
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其它資訊
摘要Following the bankruptcy of Lehman Brothers in mid-September 2008, there were severe disruptions in international money markets and banks reportedly faced severe liquidity shocks in particular US dollar funding shortages, prompting central banks around the world to adopt unprecedented policy measures to supply funds to the banks. A better understanding of the forward-looking information content about funding liquidity risk in interest rate derivative prices is therefore necessary to gauge pressures building surrounding systemic liquidity. Using the market prices of the US dollar LIBOR-overnight index swap spread, we estimate the probability of the systemic funding liquidity shock during the crisis period, which deviated from zero on 17 September 2008 to a significant level. This provided an early warning signal of the systemic liquidity shock on 29 September 2008 when the interbank market was totally paralysed. © 2012 Springer Japan.
著者Hui C.-H., Chung T.-K., Lo C.-F.
期刊名稱Asia-Pacific Financial Markets
出版年份2013
月份5
日期1
卷號20
期次2
出版社Kluwer Academic Publishers
出版地Netherlands
頁次131 - 146
國際標準期刊號1387-2834
語言英式英語
關鍵詞First-passage-time probability, Funding liquidity shocks, LIBOR-OIS spread, Sub-prime crisis

上次更新時間 2020-04-08 於 02:18