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首页> 外文期刊>The North American journal of economics and finance >Deciphering the Libor and Euribor Spreads during the subprime crisis
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Deciphering the Libor and Euribor Spreads during the subprime crisis

机译：解读次贷危机期间的伦敦银行同业拆借利率和欧元同业拆借利率

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摘要

This paper investigates the key role played by different factors, such as the use of Asset Backed Commercial Paper as collaterals in the short-term debt market, credit risk and the injection of liquidity by Central Banks through so-called unconventional measures, on the persistent spread during the subprime crisis bet. The empirical analysis shows that, in addition to credit risk, a relevant variable for explaining the interbank rate dynamics is the outstanding volume in the Asset Backed Commercial Paper market. In short, the large spread observed in the market is explained by the interrelationship between collateralized short-term debt markets and the unsecured interbank market. It is also shown that Central Bank "non-conventional" intervention variables are relevant in affecting the spread both in the long-run but mostly in the short-run.
机译：本文研究了各种因素所起的关键作用，例如在长期债务中使用资产支持商业票据作为短期债务市场的抵押品，信贷风险和中央银行通过所谓的非常规措施注入流动性。在次贷危机的赌注中传播。实证分析表明，除信贷风险外，用于解释银行间利率动态的一个相关变量是资产支持商业票据市场的未偿还交易量。简而言之，市场上观察到的大价差是由抵押短期债券市场与无抵押银行间市场之间的相互关系所解释的。研究还表明，中央银行的“非常规”干预变量在影响长期和短期内的利差方面都具有重要意义。

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