Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/210056
Autoren: 
Syrstad, Olav
Datum: 
2014
Schriftenreihe/Nr.: 
Working Paper No. 07/2014
Zusammenfassung: 
This paper investigates the effectiveness of the Federal Reserve's Term Auction Facility (TAF) in alleviating the liquidity shortage in USD and reducing the spread between the 3-month Libor rate and the expected policy rate. I construct a proxy for the 3-month liquidity risk premium based on data from the FX forward market which enables me to (i) decompose the Libor spread into a liquidity premium and a credit premium, and (ii) test the effectiveness of the TAF in reducing the liquidity premium in money market spreads. I find that long-term (84-day) TAF auctions were effective in reducing the 3-month liquidity premium. Furthermore, a reduction in the liquidity premium led to a fall in the 3-month Libor spread in USD. Credit risk, however, seems to have been a rather modest factor in explaining the increase in the Libor spread during the financial crisis.
Schlagwörter: 
LIBOR-OIS spread
term auction facility
liquidity premium
credit premium
JEL: 
E41
E43
E51
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-82-7553-806-0
Creative-Commons-Lizenz: 
https://creativecommons.org/licenses/by-nc-nd/4.0/deed.no
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
617.45 kB





Publikationen in EconStor sind urheberrechtlich geschützt.