Price discovery in US money market benchmarks: LIBOR vs. SOFR

Athanasios Fassas

Economics Letters, 2021, vol. 204, issue C

Abstract: This note evaluates the price discovery contribution of the chosen successor to LIBOR in the US, i.e., the Secured Overnight Funding Rate (SOFR), using well-established methodologies in the empirical literature. Even though the transition away from LIBOR is supposed to enhance the transparency of benchmark rates, we show that LIBOR still dominates, albeit at a declining pace, the price discovery process in the US money market interest rates.

Keywords: SOFR; LIBOR; Money market; Price discovery; Information shares (search for similar items in EconPapers)
JEL-codes: E43 G14 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:204:y:2021:i:c:s0165176521001592

DOI: 10.1016/j.econlet.2021.109882

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