Blar i Arbeidsnotater / Working Papers på forfatter "Syrstad, Olav"

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    • Burying Libor 

      Klingler, Sven; Syrstad, Olav (Working Paper;13/2019, Working paper, 2019)
      We argue that the planned transition toward alternative benchmark rates gives reason to mourn Libor. Guided by a model in which banks and non-banks can lend to each other, subject to realistic regulatory constraints, we ...

    • Covered Interest Parity in long-dated securities 

      Syrstad, Olav (Working Paper;11/2020, Working paper, 2020)
      This paper investigates the validity of Covered Interest Rate Parity (CIP) in longdated fixed income securities. I show that common measures of CIP rely on trading strategies subject to rollover risk and credit risk, or ...

    • Disclosing the Undisclosed: Commercial Paper As Hidden Liquidity Suffers 

      Klingler, Sven; Syrstad, Olav (Working paper;16/2021, Working paper, 2021)
      Using new transaction-level data for non-financial commercial paper (CP) in the U.S., we show that companies systematically reduce their outstanding short-term debt on quarterly and annual disclosure dates. Constraints on ...

    • Does Publication of Interest Rate Paths Provide Guidance? 

      Rime, Dagfinn; Syrstad, Olav; Natvik, Gisle J. (Working Paper;16/2019, Working paper, 2019)
      Does the central bank practice of publishing interest rate projections (IRPs) improve how market participants map new information into future interest rates? Using high-frequent data on Forward Rate Agreements (FRAs) we ...

    • Does SOFR-linked debt cost borrowers more than LIBOR-linked debt? 

      Klingler, Sven; Syrstad, Olav (Working paper;7/2023, Working paper, 2023)
      We investigate if the benchmark transition from London Interbank Offered Rate (Libor) to Secured Overnight Financing Rate (SOFR) affects the costs of borrowing floating rate debt. The primary market for dollar-denominated ...

    • Price-setting in the foreign exchange swap market: Evidence from order flow 

      Syrstad, Olav; Viswanath-Natraj, Ganesh (Working Paper;16/2020, Working paper, 2020)
      This paper investigates price discovery in foreign exchange (FX) swaps. Using data on inter-dealer transactions, we find that a 1 standard deviation increase in order flow (i.e. net pressure to obtain USD through FX swaps) ...

    • Segmented Money Markets and Covered Interest Parity Arbitrage 

      Rime, Dagfinn; Schrimpf, Andreas; Syrstad, Olav (Working Papers;15/2017, Working paper, 2017)
      This paper studies the violation of the most basic no-arbitrage condition in international finance — Covered Interest Parity (CIP). We find that the CIP puzzle largely stems from funding liquidity differences, reflected ...

    • The Daily Liquidity Effect in a Floor System – Empirical Evidence from the Norwegian Market 

      Syrstad, Olav (Working Papers;14/2012, Working paper, 2012)
      This paper analyses the liquidity effect in Norway by examining the relationship between a range of liquidity variables and five different measures of the short-term interbank premium. The models are estimated on data from ...

    • The Impact of the Term Auction Facility on the Liquidity Risk Premium and Unsecured Interbank Spreads 

      Syrstad, Olav (Working Papers;7/2014, Working paper, 2014)
      This paper investigates the effectiveness of the Federal Reserve's Term Auction Facility (TAF) in alleviating the liquidity shortage in USD and reducing the spread between the 3-month Libor rate and the expected policy ...