Discussion Paper

How Correlated is LIBOR with Bank Funding Costs?


Abstract: In a recent article in the BIS Quarterly Review, authors Schrimpf and Sushko (2019) provide an overview of the LIBOR transition to risk-free rates led by the FSB Official Sector Steering Group (OSSG). They also argue that rates like LIBOR may be desirable because banks “require a lending benchmark that behaves not too differently from the rates at which they raise funding.”

https://doi.org/10.17016/2380-7172.2539

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Bibliographic Information

Provider: Board of Governors of the Federal Reserve System (U.S.)

Part of Series: FEDS Notes

Publication Date: 2020-06-29

Number: 2020-06-29