{"title":"流动性或信贷效应能解释BKBM-LIBOR差异的行为吗?","authors":"R. Poskitt, Bradley Waller","doi":"10.2139/ssrn.1662173","DOIUrl":null,"url":null,"abstract":"In August 2007 the BKBM-LIBOR differential switched from positive to negative and then widened considerably following the collapse of Lehman brothers in September 2008, before narrowing gradually as the turmoil financial markets subsided. Our structural regression model and decomposition analyses show that changes in liquidity largely explain the changes in the BKBM-LIBOR differential and that credit risk factors only played a minor role. However our analysis also shows that liquidity in the offshore market also prices information regarding counterparty credit risk, suggesting that our initial results could understate the role played by credit risk factors.","PeriodicalId":115401,"journal":{"name":"23rd Australasian Finance & Banking Conference 2010 (Archive)","volume":"32 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2010-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Do Liquidity or Credit Effects Explain the Behaviour of the BKBM-LIBOR Differential?\",\"authors\":\"R. Poskitt, Bradley Waller\",\"doi\":\"10.2139/ssrn.1662173\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In August 2007 the BKBM-LIBOR differential switched from positive to negative and then widened considerably following the collapse of Lehman brothers in September 2008, before narrowing gradually as the turmoil financial markets subsided. Our structural regression model and decomposition analyses show that changes in liquidity largely explain the changes in the BKBM-LIBOR differential and that credit risk factors only played a minor role. However our analysis also shows that liquidity in the offshore market also prices information regarding counterparty credit risk, suggesting that our initial results could understate the role played by credit risk factors.\",\"PeriodicalId\":115401,\"journal\":{\"name\":\"23rd Australasian Finance & Banking Conference 2010 (Archive)\",\"volume\":\"32 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2010-08-19\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"23rd Australasian Finance & Banking Conference 2010 (Archive)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.1662173\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"23rd Australasian Finance & Banking Conference 2010 (Archive)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.1662173","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Do Liquidity or Credit Effects Explain the Behaviour of the BKBM-LIBOR Differential?
In August 2007 the BKBM-LIBOR differential switched from positive to negative and then widened considerably following the collapse of Lehman brothers in September 2008, before narrowing gradually as the turmoil financial markets subsided. Our structural regression model and decomposition analyses show that changes in liquidity largely explain the changes in the BKBM-LIBOR differential and that credit risk factors only played a minor role. However our analysis also shows that liquidity in the offshore market also prices information regarding counterparty credit risk, suggesting that our initial results could understate the role played by credit risk factors.
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