Do liquidity or credit effects explain the behavior of the BKBM-LIBOR differential

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dc.contributor.author Poskitt, Russell en
dc.contributor.author Waller, B en
dc.contributor.editor Cao, C en
dc.date.accessioned 2012-03-13T01:03:15Z en
dc.date.issued 2011 en
dc.identifier.citation Pacific Basin Finance Journal 19(2):173-193 2011 en
dc.identifier.issn 0927-538X en
dc.identifier.uri http://hdl.handle.net/2292/14125 en
dc.description.abstract This paper examines the evolution of the relationship between the onshore and offshore benchmarks for New Zealand dollar funding during the global financial crisis. In August 2007 the BKBM–LIBOR differential switched from positive to negative and then widened considerably following the collapse of Lehman Brothers in September 2008, before narrowing gradually as the turmoil in financial markets subsided. Our structural regression model and decomposition analyses show that changes in liquidity, proxied by bid/ask spreads, largely explain the changes in theBKBM–LIBOR differential over this period and that credit risk factors only played a minor role. However our analysis also shows that bid/ask spreads in the offshoremarket price information regarding counterparty credit risk, suggesting that our initial results could understate the role played by credit risk factors. en
dc.publisher Elsevier en
dc.relation.ispartofseries Pacific Basin Finance Journal en
dc.rights Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher. Details obtained from http://www.sherpa.ac.uk/romeo/issn/0927-538X/ en
dc.rights.uri https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm en
dc.title Do liquidity or credit effects explain the behavior of the BKBM-LIBOR differential en
dc.type Journal Article en
dc.identifier.doi 10.1016/j.pacfin.2010.09.001 en
pubs.issue 2 en
pubs.begin-page 173 en
pubs.volume 19 en
dc.rights.holder Copyright: Elsevier en
pubs.end-page 193 en
dc.rights.accessrights http://purl.org/eprint/accessRights/RestrictedAccess en
pubs.subtype Article en
pubs.elements-id 266842 en
pubs.record-created-at-source-date 2012-01-05 en


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