论文标题
在过渡中分解LIBOR：来自期货市场的证据
Decomposing LIBOR in Transition: Evidence from the Futures Markets
论文作者
论文摘要
我们采用了USD LIBOR过渡期的历史数据，我们估计了SOFR，FED FUNDS和EURODYRAR期货利率的联合模型，以及现货USD LIBOR和定期回购利率。该框架内源建模基础在每个基准速率之间扩展，并允许扩散分解。将LIBOR-OIS的建模为信用和资金上流风险的风险，我们发现Libor-Ois在Covid-19发作期间的峰值差异主要是由于信用风险，而平均信贷和资金液体风险同样造成了差异。
Applying historical data from the USD LIBOR transition period, we estimate a joint model for SOFR, Fed Funds, and Eurodollar futures rates as well as spot USD LIBOR and term repo rates. The framework endogenously models basis spreads between each of the benchmark rates and allows for the decomposition of spreads. Modelling the LIBOR-OIS spread as credit and funding-liquidity roll-over risk, we find that the spike in the LIBOR-OIS spread during the onset of COVID-19 was mainly due to credit risk, while on average credit and funding-liquidity risk contribute equally to the spread.
