The impact of the global financial crisis on the cross-currency linkage of LIBOR-OIS spreads

Philip Inyeob Ji and Francis In

Journal of International Financial Markets, Institutions and Money, 2010, vol. 20, issue 5, 575-589

Abstract: This article examines the impact of global financial crisis on cross-currency linkage of the LIBOR-OIS spread, a financial stress measure in interbank markets. The impulse response analysis is conducted in a multivariate setting, adopting the bias-corrected bootstrap as a means of statistical inference. The overall evidence suggests that the crisis has substantially changed the nature of the cross-currency interactions in liquidity stress. Also global money markets have failed to contain stress in US dollar funding and the role of the Japanese yen as a liquidity source appears to be significant, while these two currencies drive the cross-currency system of liquidity stress.

Keywords: Global; financial; crisis; LIBOR-OIS; spreads; Vector; autoregressive; model; Cointegration; Vector; error; correction (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (22)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:20:y:2010:i:5:p:575-589

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