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• W1991444170 abstract "This article examines the impact of global financial crisis on cross-currency linkage of the LIBOR–OIS spread, a financial stress measure in interbank markets. The impulse response analysis is conducted in a multivariate setting, adopting the bias-corrected bootstrap as a means of statistical inference. The overall evidence suggests that the crisis has substantially changed the nature of the cross-currency interactions in liquidity stress. Also global money markets have failed to contain stress in US dollar funding and the role of the Japanese yen as a liquidity source appears to be significant, while these two currencies drive the cross-currency system of liquidity stress." @default.
• W1991444170 created "2016-06-24" @default.
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• W1991444170 date "2010-12-01" @default.
• W1991444170 modified "2023-09-24" @default.
• W1991444170 title "The impact of the global financial crisis on the cross-currency linkage of LIBOR–OIS spreads" @default.
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• W1991444170 doi "https://doi.org/10.1016/j.intfin.2010.07.005" @default.
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