TY - JOUR
T1 - Time-varying financial stress linkages
T2 - Evidence from the LIBOR-OIS spreads
AU - Ji, Philip Inyeob
PY - 2012
Y1 - 2012
N2 - The present article studies the dynamic linkages between the LIBOR-OIS spreads of major currencies for the period of March 1, 2006 to November 12, 2008. The Dynamic Conditional Correlation model is employed to examine the impact of the global financial crisis on the cross-currency correlations of the spreads. The overall evidence suggests that the crisis increased the degree of money market integration of the Australian dollar, the Euro and the Sterling with the US dollar. The Japanese Yen appears to have been insulated from the US dollar shortage shocks throughout the period. In addition, the FX swap market liquidity plays an important role in explaining the market integration, whereas the credit worthiness difference between the LIBOR panel banks is a less significant factor.
AB - The present article studies the dynamic linkages between the LIBOR-OIS spreads of major currencies for the period of March 1, 2006 to November 12, 2008. The Dynamic Conditional Correlation model is employed to examine the impact of the global financial crisis on the cross-currency correlations of the spreads. The overall evidence suggests that the crisis increased the degree of money market integration of the Australian dollar, the Euro and the Sterling with the US dollar. The Japanese Yen appears to have been insulated from the US dollar shortage shocks throughout the period. In addition, the FX swap market liquidity plays an important role in explaining the market integration, whereas the credit worthiness difference between the LIBOR panel banks is a less significant factor.
KW - Dynamic Conditional Correlation model
KW - Global financial crisis
KW - LIBOR-OIS spreads
UR - http://www.scopus.com/inward/record.url?scp=84863312341&partnerID=8YFLogxK
U2 - 10.1016/j.intfin.2012.04.001
DO - 10.1016/j.intfin.2012.04.001
M3 - Article
AN - SCOPUS:84863312341
SN - 1042-4431
VL - 22
SP - 647
EP - 657
JO - Journal of International Financial Markets, Institutions and Money
JF - Journal of International Financial Markets, Institutions and Money
IS - 4
ER -