Dissecting interbank risk using basis swap spreads
Impacto
Scholar |
Otros documentos de la autoría: Lafuente-Luengo, Juan Angel; Petit, Nuria; Ruiz, Jesus; Serrano, Pedro
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https://doi.org/10.1111/twec.12878 |
Metadatos
Título
Dissecting interbank risk using basis swap spreadsFecha de publicación
2019Editor
WileyISSN
0378-5920; 1467-9701Cita bibliográfica
LAFUENTE, Juan Ángel, et al. Dissecting interbank risk using basis swap spreads. The World Economy, 2019Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
https://onlinelibrary.wiley.com/doi/full/10.1111/twec.12878Versión
info:eu-repo/semantics/publishedVersionPalabras clave / Materias
Resumen
This paper analyses interbank risk using the information content of basis swap (BS) spreads, floating‐to‐floating interest rate swaps whose payments are associated with euro deposit rates for alternative tenors. To ... [+]
This paper analyses interbank risk using the information content of basis swap (BS) spreads, floating‐to‐floating interest rate swaps whose payments are associated with euro deposit rates for alternative tenors. To identify the impact of shocks affecting interbank risk, we propose an empirical model that decomposes BS quotes into their expected and unexpected components. These unobservable constituents of BS spreads are estimated by solving a signal extraction problem using a particle filter. We find that expected components covariate with aggregate liquidity and risk aversion while systemic risk arises as the main driver behind unexpected fluctuations. Our empirical findings suggest that macroprudential analysis emerges as a key device to ease asset pricing in a new multi‐curve scenario. [-]
Publicado en
The World Economy, 2019Proyecto de investigación
Ministerio de Economía y Competitividad, Grant/Award Number: 2016/00118/001 and ECO2015‐67305‐P; Generalitat Valenciana, Grant/Award Number: PROMETEOII/2013/015; Consejería de Economía, Innovación, Ciencia y Empleo, Junta de Andalucía, Grant/Award Number: P12‐SEJ‐1733; Fundación Ramón ArecesDerechos de acceso
© 2019 John Wiley & Sons Ltd
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