The article investigates the statistical features of the US OIS spreads term 10 structure during the recent financial turmoil, originating from the subprime crisis and the ensuing euro area sovereign debt crisis. By means of a comprehensive econometric modelling strategy, new insights on US money market dynamics during the latter events are achieved. In particular, three common factors, bearing the interpretation of level, slope and curvature factors, are extracted from the term 15 structure of US OIS spreads; the latter are found to convey additional information, relatively to commonly used credit risk measures like the TED or the BAA-AAA corporate spreads, which might be exploited, also within a composite indicator, for the construction of a macroeconomic risk barometer and macroeconomic forecasting

Morana, C. (2014). New Insights on the US OIS Spreads Term Structure During the Recent Financial Turmoil. APPLIED FINANCIAL ECONOMICS, 24(5), 291-317 [10.1080/09603107.2013.864034].

New Insights on the US OIS Spreads Term Structure During the Recent Financial Turmoil

MORANA, CLAUDIO
2014

Abstract

The article investigates the statistical features of the US OIS spreads term 10 structure during the recent financial turmoil, originating from the subprime crisis and the ensuing euro area sovereign debt crisis. By means of a comprehensive econometric modelling strategy, new insights on US money market dynamics during the latter events are achieved. In particular, three common factors, bearing the interpretation of level, slope and curvature factors, are extracted from the term 15 structure of US OIS spreads; the latter are found to convey additional information, relatively to commonly used credit risk measures like the TED or the BAA-AAA corporate spreads, which might be exploited, also within a composite indicator, for the construction of a macroeconomic risk barometer and macroeconomic forecasting
Articolo in rivista - Articolo scientifico
subprime crisis; euro area sovereign debt crisis; US LIBOR-OIS spreads; risk barometer
English
2014
24
5
291
317
none
Morana, C. (2014). New Insights on the US OIS Spreads Term Structure During the Recent Financial Turmoil. APPLIED FINANCIAL ECONOMICS, 24(5), 291-317 [10.1080/09603107.2013.864034].
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/49766
Citazioni
  • Scopus 2
  • ???jsp.display-item.citation.isi??? ND
Social impact