A comparison of the information in the LIBOR and CMT term structures of interest rates

Robert Brooks (), Brandon N. Cline and Walter Enders

Journal of Banking & Finance, 2015, vol. 54, issue C, 239-253

Abstract: We investigate the information contained in the London Interbank Offered Rate (LIBOR) and the U.S. Constant Maturity Treasury (CMT) term structure of interest rates and report three novel findings. First, we document that the information contained in term structures are significantly different from one another. Second, we provide evidence of a significant change in the nature of this difference as the financial crisis began. Third, we find that the significant changes in the information content of CMT and LIBOR are consistent with significant shocks to credit default swap rates and tenor swap rates.

Keywords: Term structure; Expectations hypothesis; LIBOR; Forward rates (search for similar items in EconPapers)
JEL-codes: E43 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:54:y:2015:i:c:p:239-253

DOI: 10.1016/j.jbankfin.2015.01.006

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