Life after LIBOR

• 成果类型: Article
• 署名作者: Klingler, Sven; Syrstad, Olav
• 署名单位: BI Norwegian Business School; Norges Bank
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.04.017
• 发表日期: 2021
• 页码: 783-801
• 关键词: Benchmark rates; Financial regulation; LIBOR; Repo rates; collateral

摘要

We examine the alternative reference rates that are set to replace the London Interbank Offered Rate (LIBOR) as benchmark rate by the end of 2021. After providing the relevant background, we show that: (i) depending on the marginal lenders, tighter regulatory con-straints can either increase or decrease the alternative benchmarks; (ii) increases in the amount of government debt outstanding increase the alternative benchmarks, more so for collateralized rates; and (iii) more central bank reserves lower the alternative benchmarks. In addition, we show that term rates based on the alternative reference rates can be detached from banks' marginal funding costs. (c) 2021 Elsevier B.V. All rights reserved.