Life after LIBOR

Sven Klingler and Olav Syrstad

Journal of Financial Economics, 2021, vol. 141, issue 2, 783-801

Abstract: We examine the alternative reference rates that are set to replace the London Interbank Offered Rate (LIBOR) as benchmark rate by the end of 2021. After providing the relevant background, we show that: (i) depending on the marginal lenders, tighter regulatory constraints can either increase or decrease the alternative benchmarks; (ii) increases in the amount of government debt outstanding increase the alternative benchmarks, more so for collateralized rates; and (iii) more central bank reserves lower the alternative benchmarks. In addition, we show that term rates based on the alternative reference rates can be detached from banks’ marginal funding costs.

Keywords: Benchmark rates; Financial regulation; LIBOR; Repo rates; Collateral (search for similar items in EconPapers)
JEL-codes: E43 G12 G18 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:141:y:2021:i:2:p:783-801

DOI: 10.1016/j.jfineco.2021.04.017

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