Determinants of the multiple-term structures from interbank rates

Petit, Nuria; Serrano, Pedro; Lafuente Luengo, Juan Ángel

Publication:
Determinants of the multiple-term structures from interbank rates

dc.affiliation.dpto	UC3M. Departamento de Economía de la Empresa	es
dc.contributor.author	Petit, Nuria
dc.contributor.author	Serrano, Pedro
dc.contributor.author	Lafuente Luengo, Juan Ángel
dc.contributor.editor	Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
dc.date.accessioned	2015-06-19T17:55:44Z
dc.date.available	2015-06-19T17:55:44Z
dc.date.issued	2015-06
dc.description.abstract	The classic relationship between deposit rates and interest rate derivatives has been fractured since August 2007. Uncertainty in the interbank money market has increased the risk premia differentials on unsecured deposits rates of different tenors, such as Euribor, leading to a new pricing framework of interest rate derivatives based on multiple curves. This article analyzes the economic determinants of this new multi-curve framework. We employ basis swap (BS) spreads &-floating-to-floating interest rate swaps- as instruments for extracting the interest rate curvedifferentials. Our results show that the multi-curve framework mirrors the standard single-curve setting in terms of level, slope and curvature factors. The level factor captures 90% of the total variation in the curves, and this factor significantly covaries with a proxy for systemic risk. Moreover, the curve residuals are significantly correlated with interbank liquidity. Our empirical findings also show unidirectional causality running from risk (and liquidity) to level (and noise) factors.	en
dc.format.mimetype	application/pdf
dc.identifier.issn	2387-175X
dc.identifier.uri	https://hdl.handle.net/10016/21163
dc.identifier.uxxi	DT/0000001379
dc.language.iso	eng	es
dc.relation.ispartofseries	UC3M Working Papers Business	en
dc.relation.ispartofseries	15-02
dc.rights	Atribución-NoComercial-SinDerivadas 3.0 España	*
dc.rights.accessRights	open access
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/es/	*
dc.subject.other	Basis swap	en
dc.subject.other	Noise measure	en
dc.subject.other	Credit risk	en
dc.subject.other	Liquidity risk	en
dc.subject.other	Capital arbitrage	en
dc.title	Determinants of the multiple-term structures from interbank rates	en
dc.type	working paper	*
dc.type.hasVersion	SMUR	*
dspace.entity.type	Publication