Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/93592
Authors: 
Duffie, Darrell
Skeie, David
Vickery, James
Year of Publication: 
2013
Series/Report no.: 
Staff Report, Federal Reserve Bank of New York 596
Abstract: 
We examine the properties of a method for fixing Libor rates that is based on transactions data and multi-day sampling windows. The use of a sampling window may mitigate problems caused by thin transaction volumes in unsecured wholesale term funding markets. Using two partial data sets of loan transactions, we estimate how the use of different sampling windows could affect the statistical properties of Libor fixings at various maturities. Our methodology, which is based on a multiplicative estimate of sampling noise that avoids the need for interest rate data, uses only the timing and sizes of transactions. Limitations of this sampling-window approach are also discussed.
Subjects: 
shadow banking
financial intermediation
JEL: 
G01
G10
G18
G28
Document Type: 
Working Paper

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