RT Generic
T1 Dissecting interbank risk
A1 Petit, Nuria
A1 Serrano, Pedro
A1 Lafuente Luengo, Juan Ángel
A2 Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, 
AB This paper analyses interbank risk using the information content of basis swap (BS) spreads, floating-to-floating interest rate swaps whose payments are associated with euro deposit rates for alternative tenors. We propose an empirical model to decompose BS quotes intoexpected and unexpected components. To estimate both unobservable constituents of BS spreads, we solve a signal extraction problem using a particle filter. Our empirical findings show that unexpected changes of BS spreads are linked to systemic risk. Shocks to aggregate liquidity are also important to explain regime shifts. Sovereign risk and risk aversionare relevant factors explaining expected fluctuations.
SN 2387-175X
YR 2017
FD 2017-05-01
LK https://hdl.handle.net/10016/24553
UL https://hdl.handle.net/10016/24553
LA eng
DS e-Archivo
RD 17 jul. 2024