TY - JOUR
T1 - The impact of the global financial crisis on the cross-currency linkage of LIBOR-OIS spreads
AU - Ji, Philip Inyeob
AU - In, Francis
PY - 2010/12
Y1 - 2010/12
N2 - This article examines the impact of global financial crisis on cross-currency linkage of the LIBOR-OIS spread, a financial stress measure in interbank markets. The impulse response analysis is conducted in a multivariate setting, adopting the bias-corrected bootstrap as a means of statistical inference. The overall evidence suggests that the crisis has substantially changed the nature of the cross-currency interactions in liquidity stress. Also global money markets have failed to contain stress in US dollar funding and the role of the Japanese yen as a liquidity source appears to be significant, while these two currencies drive the cross-currency system of liquidity stress.
AB - This article examines the impact of global financial crisis on cross-currency linkage of the LIBOR-OIS spread, a financial stress measure in interbank markets. The impulse response analysis is conducted in a multivariate setting, adopting the bias-corrected bootstrap as a means of statistical inference. The overall evidence suggests that the crisis has substantially changed the nature of the cross-currency interactions in liquidity stress. Also global money markets have failed to contain stress in US dollar funding and the role of the Japanese yen as a liquidity source appears to be significant, while these two currencies drive the cross-currency system of liquidity stress.
KW - Cointegration
KW - Global financial crisis
KW - LIBOR-OIS spreads
KW - Vector autoregressive model
KW - Vector error correction
UR - http://www.scopus.com/inward/record.url?scp=78249242742&partnerID=8YFLogxK
U2 - 10.1016/j.intfin.2010.07.005
DO - 10.1016/j.intfin.2010.07.005
M3 - Article
AN - SCOPUS:78249242742
SN - 1042-4431
VL - 20
SP - 575
EP - 589
JO - Journal of International Financial Markets, Institutions and Money
JF - Journal of International Financial Markets, Institutions and Money
IS - 5
ER -