2012
DOI: 10.58886/jfi.v10i1.2322
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Transmission of Shocks to LIBOR Risk Spreads and Nominal Risk-Free Rates

Abstract: In this study, effects of shocks to international money market conditions, as measured by the three-month London Interbank Offer Rates (LIBOR) for five financially integrated economies (United States, the euro zone countries, Great Britain, Japan, and Canada) are examined. The sample period runs from January 4, 1999, through December 31, 2010. A fiveequation vector autoregressive (VAR) model is developed using daily risk spreads between each country’s LIBOR and its nominal risk-free rate. Also, effects of the … Show more

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