Dissecting interbank risk using basis swap spreads
Impacte
Scholar |
Altres documents de l'autoria: Lafuente-Luengo, Juan Angel; Petit, Nuria; Ruiz, Jesus; Serrano, Pedro
Metadades
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https://doi.org/10.1111/twec.12878 |
Metadades
Títol
Dissecting interbank risk using basis swap spreadsData de publicació
2019Editor
WileyISSN
0378-5920; 1467-9701Cita bibliogràfica
LAFUENTE, Juan Ángel, et al. Dissecting interbank risk using basis swap spreads. The World Economy, 2019Tipus de document
info:eu-repo/semantics/articleVersió de l'editorial
https://onlinelibrary.wiley.com/doi/full/10.1111/twec.12878Versió
info:eu-repo/semantics/publishedVersionParaules clau / Matèries
Resum
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. [-]
Publicat a
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 ArecesDrets d'accés
© 2019 John Wiley & Sons Ltd
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