How Correlated is LIBOR with Bank Funding Costs?

David Bowman, Chiara Scotti and Cindy M. Vojtech
Additional contact information
David Bowman: https://www.federalreserve.gov/econres/david-bowman.htm
Cindy M. Vojtech: https://www.federalreserve.gov/econres/cindy-m-vojtech.htm

No 2020-06-29, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: In a recent article in the BIS Quarterly Review, authors Schrimpf and Sushko (2019) provide an overview of the LIBOR transition to risk-free rates led by the FSB Official Sector Steering Group (OSSG). They also argue that rates like LIBOR may be desirable because banks “require a lending benchmark that behaves not too differently from the rates at which they raise funding.”

Date: 2020-06-29
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.federalreserve.gov//econres/notes/feds ... g-costs-20200629.htm (text/html)

Related works:
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:fip:fedgfn:2020-06-29

DOI: 10.17016/2380-7172.2539

Access Statistics for this paper

More papers in FEDS Notes from Board of Governors of the Federal Reserve System (U.S.) Contact information at EDIRC.
Bibliographic data for series maintained by Ryan Wolfslayer ; Keisha Fournillier ().