The Spillover of Money Market Turbulence to FX Swap and Cross-Currency Swap Markets

By N. Baba, Frank Packer, Teppei Nagano, Colin Bermingham, C. Borio, M. Dearlove, Yvan Ducrot, Jacob Gyntelberg, Peter Hördahl, Peter Johnson and 5 more. 2008

144 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/65e08e1f68e100b664a78946e33a3da1964ce4cc

Citations in the corpus

• Covered interest parity lost: understanding the cross-currency basis (2016, unknown): “In an FX swap, one party borrows one currency from, and simultaneously lends another currency to, a second party (see also Baba et al (2008)).”
• Global Imbalances and the Financial Crisis: Link or No Link? (2011, unknown): “This explains the surprising funding squeeze that hit these banks’ (and others’) US dollar positions, and the associated serious disruptions in foreign exchange swap markets – the socalled US dollar shortage (Graph 9, right-hand panel; see Baba et al. (2008, 2009), Baba and Packer (2008)).”
• Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity (2011, unknown): “These dynamics emphasizing the vicious circle between market and funding liquidity, as well as cross market contagion, are modeled more explicitly in Brunnermeier and Pedersen (2009), Adrian and Shin (2008a) and Gromb and Vayanos (2009), and eloquently discussed in Brunnermeier (2009) and Pedersen (”
• The effectiveness of unconventional monetary policy at the zero lower bound : a cross-country analysis (2014, unknown): “…on the effects of central banks’ liquidity measures on money markets and FX and cross-currency swap markets in the first stage of the crisis (e.g., Baba, Packer, and Nagano 2008, H¨ordahl and King 2008, Christensen, Lopez, and Rudebusch 2009, Taylor and Williams 2009, Thornton 2010) and on the…”
• Developments in Repo Markets During the Financial Turmoil (2008, unknown): “…but little to no data are available on maturities, Repos can be seen as a form of collateralised loan Repo markets are large but opaque 3 Financial institutions also turned to foreign markets to raise unsecured funds via foreign exchange swaps and cross-currency swaps (Baba et al (2008)).”
• The Financial Turmoil of 2007-?: A Preliminary Assessment and Some Policy Considerations (2008, unknown): “This explains the scramble for US dollars by European institutions, particularly felt in FX swap markets, as they raised other currencies and swapped them into dollars [Baba et al. (2008)]. false sense of security.”