What Drives Interbank Rates? Evidence from the Libor Panel

By François-Louis Michaud, Christian Upper. 2008

212 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/a8bf3afafacc730eff43d4f9cc57bf792da01e27

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Citations in the corpus

The Term Structure of Interbank Risk (2012, unknown): “These papers include Schwartz (2010), Taylor and Williams (2009), McAndrews, Sarkar, and Wang (2008), Michaud and Upper (2008), and Eisenschmidt and Tapking (2009).”
Liquidity Risk Premia in Unsecured Interbank Money Markets (2009, unknown): “7 ECB Working Paper Series No 1025 March 2009 components are measured by (dummies for) central bank interventions (Taylor and Williams (2008), Wu (2008)) or as a residual (Michaud and Upper (2008)).”
Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads (2018, unknown): “…(2011), Filipović and Trolle (2013), Taylor and Williams (2009), Beber, Brandt and Kavajecz (2009), and McAndrews, Sarkar and Wang (2008) – or by poor liquidity (Michaud and Upper (2008), Acharya and Skeie (2011)), especially at times of market stress when these effects are potentially large.”
Market response to policy initiatives during the global financial crisis (2012, background): “With credit and liquidity risks becoming the major drivers of the increase in the interbank interest rates since the summer of 2007 (Michaud and Upper (2008)), the Libor-OIS spreads turned into a widely monitored indicator of financial distress (Taylor (2009)) and a useful measure of the…”
The Interbank Market after the Financial Turmoil: Squeezing Liquidity in a 'Lemons Market' or Asking Liquidity 'on Tap' (2013, unknown): “Angelini, Nobili and Picillo (2009) use micro data on Italian interbank transactions collected from e‐MID and analyse the determinant of the single bank interest spread on Eurepo before and after August 2007.”
Developments in Repo Markets During the Financial Turmoil (2008, background): “As a result, repo markets quickly began to show signs of stress, although the impact on repo rates was less pronounced than for unsecured Libor rates, which widened significantly relative to OIS rates (Michaud and Upper (2008)) (Graph 2).”