dc.contributor.author | Klingler, Sven | |
dc.contributor.author | Syrstad, Olav | |
dc.date.accessioned | 2020-04-27T13:56:55Z | |
dc.date.available | 2020-04-27T13:56:55Z | |
dc.date.issued | 2019 | |
dc.identifier.isbn | 978-82-8379-108-2 | |
dc.identifier.issn | 1502-8190 | |
dc.identifier.uri | https://hdl.handle.net/11250/2652687 | |
dc.description.abstract | 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 show empirically that tighter financial regulation increases interbank rates but lowers broad rates (in which lenders are non-banks) and that all market rates increase with more Treasury bill issuance. Hence, the proportion of non-bank lenders affects the alternative rates, introducing variation in the benchmark that is unrelated to banks' marginal funding costs and creating a basis between regions with interbank rates and broad rates. | en_US |
dc.language.iso | eng | en_US |
dc.publisher | Norges Bank | en_US |
dc.relation.ispartofseries | Working Paper;13/2019 | |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/deed.no | * |
dc.subject | benchmark rates | en_US |
dc.subject | financial regulation | en_US |
dc.subject | repo rates | en_US |
dc.subject | collateral | en_US |
dc.subject | JEL: E43 | en_US |
dc.subject | JEL: G12 | en_US |
dc.subject | JEL: G18 | en_US |
dc.subject | LIBOR | en_US |
dc.title | Burying Libor | en_US |
dc.type | Working paper | en_US |
dc.description.version | publishedVersion | en_US |
dc.subject.nsi | VDP::Samfunnsvitenskap: 200::Økonomi: 210::Samfunnsøkonomi: 212 | en_US |
dc.source.pagenumber | 34 | en_US |