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The EONIA spread before and during the crisis of 2007–2009: The role of liquidity and credit risk

✍ Scribed by John Beirne

Book ID
116659176
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
708 KB
Volume
31
Category
Article
ISSN
0261-5606

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Significant deviations from covered interest parity were observed during the financial crisis of 2007-2009. This paper finds that before the failure of Lehman Brothers market-wide funding liquidity risk was the main determinant of these deviations measured by swap-implied US dollar (USD) interest ra