재무연구 제 권 호 (2009년 5월)
Asian Review of Financial Research, Vol., No..
pp.2212~2249
pp.2212~2249
The Impact of Subprime Mortgage Crisis on Cross-currency Linkage of LIBOR-OIS Spreads
Philip Inyeob Ji Department of Accounting and Finance, Monash University, Clayton, VIC 3800, Australia
Francis In Department of Accounting and Finance, Monash University, Clayton, VIC 3800, Australia
This paper examines the cross-currency linkage of LIBOR-OIS spreads. We consider daily spread data in five major currencies for the period of March 1, 2006 to Nov 11, 2008. The impulse response analysis is conducted in a multivariate setting, adopting the bias-corrected bootstrap as a means of statistical inference. The overall evidence suggests that the crisis has substantially changed the nature of the cross-country interactions in liquidity premium. Global money markets fail to contain the US dollar term funding shocks and the role of Japanese yen in terms of liquidity source appears to be significant. Also the US dollar and yen spreads drive the cross-currency system of liquidity premium, whereas the premium in the euro, pound and Australian dollar funding equilibrate to errors in long-run relation of liquidity premium.
Philip Inyeob Ji
Francis In
This paper examines the cross-currency linkage of LIBOR-OIS spreads. We consider daily spread data in five major currencies for the period of March 1, 2006 to Nov 11, 2008. The impulse response analysis is conducted in a multivariate setting, adopting the bias-corrected bootstrap as a means of statistical inference. The overall evidence suggests that the crisis has substantially changed the nature of the cross-country interactions in liquidity premium. Global money markets fail to contain the US dollar term funding shocks and the role of Japanese yen in terms of liquidity source appears to be significant. Also the US dollar and yen spreads drive the cross-currency system of liquidity premium, whereas the premium in the euro, pound and Australian dollar funding equilibrate to errors in long-run relation of liquidity premium.
