A Black Swan in the Money Market¶
U.S. Office of Financial Research. (2009). A Black Swan in the Money Market. American Economic Journal: Macroeconomics.
Cited by¶
2 citations across 2 artifacts.
Each citation links to the sentence it supports in the citing article.
Domain-specific¶
- Basis-Risk Failure
- Libor-OIS basis widening in 2008 that caught interest-rate hedgers
This sourceDocuments the unprecedented 2007-2008 jump in the Libor-OIS spread and tests counterparty-risk and liquidity explanations for it, not its effect on hedgers.
Supported in partVerified against the source
- Libor-OIS basis widening in 2008 that caught interest-rate hedgers
Mechanisms¶
- Market Stress Indicator
- A short-term funding desk watches the spread between unsecured interbank lending rates and the risk-free rate — historically a barometer of how nervous banks are about lending to each other.
This sourceUses the unsecured interbank-to-risk-free spread as an indicator whose widening reflected counterparty lending risk.
- A short-term funding desk watches the spread between unsecured interbank lending rates and the risk-free rate — historically a barometer of how nervous banks are about lending to each other.
Verification¶
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Registry ID ref:2eadcb8763d8 · see in the full table