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Keywords:reference rates 

Speech
901 Days

Remarks at Securities Industry and Financial Markets Association (SIFMA), New York City.
Speech , Paper 326

Speech
SOFR and the transition from LIBOR: remarks at the SIFMA C&L Society February Luncheon, New York City

Remarks at the SIFMA C&L Society February Luncheon, New York City.
Speech , Paper 307

Speech
Restoring confidence in reference rates

Remarks at the Salomon Center for the Study of Financial Institutions, New York University Stern School of Business, New York City.
Speech , Paper 143

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
LIBOR: The Clock Is Ticking

Remarks at the 2019 U.S. Treasury Market Conference, Federal Reserve Bank of New York, New York City.
Speech , Paper 330

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

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