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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