Listar COFIN_Articles por fuente "The World Economy, 2019"

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    • closedAccess   Dissecting interbank risk using basis swap spreads 

      Lafuente-Luengo, Juan Angel; Petit, Nuria; Ruiz, Jesus; Serrano, Pedro Wiley (2019)
      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 ...