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Working Paper
What Drives Bank Funding Spreads?

We use matched, bank-level panel data on Libor submissions and credit default swaps to decompose bank-funding spreads at several maturities into components reflecting counterparty credit risk and funding-market liquidity. To account for the possibility that banks may strategically misreport their funding rates in the Libor survey, we nest our decomposition within a model of the costs and benefits of lying. We find that Libor spreads typically consist mostly of a liquidity premium and that this premium declined at short maturities following Federal Reserve interventions in bank funding ...
Working Paper Series , Paper WP-2014-23

Journal Article
Leaving LIBOR

The Fed has developed a new reference rate to replace the troubled LIBOR. Will banks make the switch?
Econ Focus , Issue 3Q , Pages 3-5

Working Paper
Credit Risk, Liquidity and Lies

We reexamine the relative effects of credit risk and liquidity in the interbank market using bank-level panel data on Libor submissions and CDS spreads. Our model synthesizes previous work by combining the fundamental determinants of interbank spreads with the effects of strategic misreporting by Libor-submitting firms. We find that interbank spreads were very sensitive to credit risk at the peak of the crisis. However, liquidity premia constitute the bulk of those spreads on average, and Federal Reserve interventions coincide with improvements in liquidity at short maturities. Accounting for ...
Finance and Economics Discussion Series , Paper 2015-112

Measure Twice, Cut Once

Remarks at SOFR Symposium: The Final Year (Part II) (delivered via videoconference).

The importance of incentives in ensuring a resilient and robust financial system: remarks at the U.S. Chamber of Commerce, Washington, D.C.

Remarks at the U.S. Chamber of Commerce, Washington, D.C.
Speech , Paper 277

Discussion Paper
How the LIBOR Transition Affects the Supply of Revolving Credit

In the United States, most commercial and industrial (C&I) lending takes the form of revolving lines of credit, known as revolvers or credit lines. For decades, like other U.S. C&I loans, credit lines were typically indexed to the London Interbank Offered Rate (LIBOR). However, since 2022, the U.S. and other developed-market economies have transitioned from credit-sensitive reference rates such as LIBOR to new risk-free rates, including the Secured Overnight Financing Rate (SOFR). This post, based on a recent New York Fed Staff Report, explores how the provision of revolving credit is likely ...
Liberty Street Economics , Paper 20230203

Remarks at the Culture Imperative – an Interbank Symposium

Remarks at the Culture Imperative ? An Interbank Symposium at the Convene Conference Center, New York City.
Speech , Paper 231

Transitioning Away From LIBOR: Understanding SOFR’s Strengths and Considering the Path Forward

Remarks at the Bank Policy Institute’s Credit-Sensitive Benchmark Symposium (delivered via videoconference).

Monetary Policy Implementation: Adapting to a New Environment

Remarks before the Money Marketeers of New York University (delivered via videoconference).

The transition to a robust reference rate regime: remarks at Bank of England’s Markets Forum 2018, London, England

Remarks at Bank of England?s Markets Forum 2018, London, England.
Speech , Paper 287



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LIBOR 26 items

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