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Title:The effect of the term auction facility on the London inter-bank offered rate PDF Logo
Authors:McAndrews, James
Sarkar, Asani
Wang, Zhenyu
Issue Date:2008
Series/Report no.:Staff Report, Federal Reserve Bank of New York 335
Abstract:This paper examines the effects of the Federal Reserve's Term Auction Facility (TAF) on the London Inter-Bank Offered Rate (LIBOR). The particular question investigated is whether the announcements and operations of the TAF are associated with downward shifts of the LIBOR; such an association would provide one indication of the efficacy of the TAF in mitigating liquidity problems in the interbank funding market. The empirical results suggest that the TAF has helped to ease strains in this market.
Subjects:LIBOR
liquidity
money markets
Term Auction Facility
JEL:G10
G12
G18
G19
Document Type:Working Paper
Appears in Collections:Staff Reports, Federal Reserve Bank of New York

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