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Keywords:Libor OR LIBOR 

Speech
Monetary Policy Implementation: Adapting to a New Environment

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

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

Speech
LIBOR: The Clock Is Ticking

Remarks at the 2019 U.S. Treasury Market Conference, Federal Reserve Bank of New York, New York City.
Speech

Working Paper
Inferring Term Rates from SOFR Futures Prices

The Alternative Reference Rate Committee, a group of private-sector market participants convened by the Federal Reserve, has recommended that markets transition to the use of the Secured Overnight Financing Rate (SOFR) in financial contracts that currently reference US dollar LIBOR. This paper examines the feasibility of using SOFR futures prices to construct forward-looking term reference rates that are conceptually similar to the term LIBOR rates commonly used in loan contracts. We show that futures-implied term SOFR rates have closely tracked federal funds OIS rates over the eight months ...
Finance and Economics Discussion Series , Paper 2019-014

Report
LIBOR: origins, economics, crisis, scandal, and reform

The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to trillions more in variable-rate mortgage and student loans. LIBOR's volatile behavior during the financial crisis provoked questions surrounding its credibility. Ongoing regulatory investigations have uncovered misconduct by a number of financial institutions. Policymakers across the globe now face the task of reforming LIBOR in the aftermath of the scandal and ...
Staff Reports , Paper 667

Speech
Good Day Sunshine

Remarks at Midsize Bank Coalition of America (delivered via videoconference).
Speech

Speech
Confidence in the implementation of U.S. monetary policy normalization: remarks at the 23rd EMEAP (Executives’ Meeting of East Asia-Pacific Central Banks) Governors’ Meeting, Manila, Philippines

Remarks at the 23rd EMEAP (Executives? Meeting of East Asia-Pacific Central Banks) Governors? Meeting, Manila, Philippines.
Speech , Paper 291

Speech
Act Now, and Choose Wisely

Remarks at the 2021 ISDA North America Conference (delivered via videoconference).
Speech

Speech
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

Speech
The LIBOR Countdown Has Not Stopped

Remarks at the IMN Virtual Investors' Conference on LIBOR.
Speech

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E43 3 items

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LIBOR 26 items

SOFR 9 items

reference rates 8 items

Alternative Reference Rates Committee (ARRC) 7 items

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Secured Overnight Financing Rate (SOFR) 5 items

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