On cross-currency transmissions between US dollar and euro LIBOR-OIS spreads

Go Tamakoshi and Shigeyuki Hamori

Research in International Business and Finance, 2014, vol. 30, issue C, 83-90

Abstract: Using the causality-in-variance and causality-in-mean tests advocated by Hong (2001), we examine volatility and mean transmissions between the US dollar (USD) and euro (EUR) LIBOR-OIS spreads from January 2005 to June 2011. Interestingly, during the global financial crisis period, despite the apparently bidirectional causality-in-mean observed between the two spreads, we find evidence of significant unidirectional causality-in-variance from the EUR to the USD spread, implying information flows driven by the funding behaviors of European financial institutions. On the other hand, during the recent European sovereign debt crisis, we detect no significant causality-in-mean and causality-in-variance between the spreads.

Keywords: Interbank money market; LIBOR-OIS spread; Cross-correlation function analysis; Volatility spillover; European sovereign debt crisis (search for similar items in EconPapers)
JEL-codes: C58 G01 G15 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:30:y:2014:i:c:p:83-90

DOI: 10.1016/j.ribaf.2013.06.001

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