Distress in Money Markets During the Global Financial Crisis: An Analysis of Co-Movement and Transmission

Takayasu Ito

The IUP Journal of Applied Finance, 2013, vol. 19, issue 1, 72-85

Abstract: This paper aims to investigate the co-movement and transmission of distress through money markets during the global financial crisis by analyzing LIBOR-OIS spreads. It focuses on the US, Eurozone, UK and Japan. The sample is divided into two periods around the time of Lehman Brothers shock to investigate the asymmetrical impact of global financial crisis on LIBOR-OIS spreads. The first period (Sample A) runs from August 9, 2007 to September 12, 2008 and the second (Sample B) from September 15, 2008 to May 20, 2009. The results show that for Sample A, distress moved synchronously across the US, Eurozone, UK and Japan through the process of global transmission. However, in Sample B such a coordination was found only between UK and Eurozone.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:icf:icfjaf:v:19:y:2013:i:1:p:72-85

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