Search Results

No results found.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:refinancing risk 

Working Paper
Modeling Money Market Spreads: What Do We Learn about Refinancing Risk?

We quantify the effect of refinancing risk on euro area money market spreads, a major factor driving spreads during the financing crisis. With the advent of the crisis, market participants' perception of their ability to refinance over a given period of time changed radically. As a result, borrowers preferred to obtain funding for longer tenors and lenders were willing to provide funding for shorter tenors. This discrepancy resulted in a need to refinance more frequently in order to borrow over a given horizon, thus increasing refinancing risk. We measure refinancing risk by quantifying the ...
Finance and Economics Discussion Series , Paper 2014-112

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

E58 1 items

G12 1 items

G21 1 items

FILTER BY Keywords

PREVIOUS / NEXT