EconPapers    
Economics at your fingertips  
 

Deciphering the Libor and Euribor Spreads during the subprime crisis

Loriana Pelizzon () and Domenico Sartore

No 2013: 14, Working Papers from Department of Economics, University of Venice "Ca' Foscari"

Abstract: This paper investigates the key role played by different factors, such as the use of Asset Backed Commercial Paper as collaterals in the short-term debt market, credit risk and the injection of liquidity by Central Banks through so-called unconventional measures, on the persistent spread during the subprime crisis bet. The empirical analysis shows that, in addition to credit risk, a relevant variable for explaining the interbank rate dynamics is the outstanding volume in the Asset Backed Commercial Paper market. In short, the large spread observed in the market is explained by the inter-relationship between collateralized short-term debt markets and the unsecured interbank market. It is also shown that Central Bank "non-conventional" intervention variables are relevant in affecting the spread both in the long-run but mostly in the short-run.

Keywords: Subprime Crisis; Collateral Liquidity; Unconventional Monetary Policy. (search for similar items in EconPapers)
JEL-codes: C01 C22 E58 G01 G15 G21 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2013
New Economics Papers: this item is included in nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://www.unive.it/web/fileadmin/user_upload/dip ... on_sartore_14_13.pdf First version, 2013 (application/pdf)

Related works:
Journal Article: Deciphering the Libor and Euribor Spreads during the subprime crisis (2013) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ven:wpaper:2013:14

Access Statistics for this paper

More papers in Working Papers from Department of Economics, University of Venice "Ca' Foscari" Contact information at EDIRC.
Bibliographic data for series maintained by Sassano Sonia ().

 
Page updated 2025-04-02
Handle: RePEc:ven:wpaper:2013:14