Price discovery in US money market benchmarks: LIBOR vs. SOFR
| dc.creator | Fassas A.P. | en |
| dc.date.accessioned | 2023-01-31T07:37:42Z | |
| dc.date.available | 2023-01-31T07:37:42Z | |
| dc.date.issued | 2021 | |
| dc.identifier | 10.1016/j.econlet.2021.109882 | |
| dc.identifier.issn | 01651765 | |
| dc.identifier.uri | http://hdl.handle.net/11615/71486 | |
| dc.description.abstract | This note evaluates the price discovery contribution of the chosen successor to LIBOR in the US, i.e., the Secured Overnight Funding Rate (SOFR), using well-established methodologies in the empirical literature. Even though the transition away from LIBOR is supposed to enhance the transparency of benchmark rates, we show that LIBOR still dominates, albeit at a declining pace, the price discovery process in the US money market interest rates. © 2021 Elsevier B.V. | en |
| dc.language.iso | en | en |
| dc.source | Economics Letters | en |
| dc.source.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85105332785&doi=10.1016%2fj.econlet.2021.109882&partnerID=40&md5=c2d19b5a3ca71b21805ecde6d4bc3c8b | |
| dc.subject | Elsevier B.V. | en |
| dc.title | Price discovery in US money market benchmarks: LIBOR vs. SOFR | en |
| dc.type | journalArticle | en |
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