Price discovery in US money market benchmarks: LIBOR vs. SOFR

DOI10.1016/J.ECONLET.2021.109882MaRDI QIDQ2036971zbMATH OpenOpenAlexWikidataFDO

Authors Athanasios P. Fassas

Publication date 30 June 2021

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2021.109882

zbMATH Keywords

information sharesLIBORmoney marketprice discoverySOFR

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• The SOFR and the Fed's influence over market interest rates
• Decomposing LIBOR in transition: evidence from the futures markets
• A mechanism for LIBOR
• Term rates, multicurve term structures and overnight rate benchmarks: a roll-over risk approach
• Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis

Cites work

• An analysis of price discovery between Bitcoin futures and spot markets
• Bitcoin futures -- what use are they?
• London vs. Leipzig: price discovery of carbon futures during phase III of the ETS

Cited in

(5)

• Estimating the money market microstructure with negative and zero interest rates
• A mechanism for LIBOR
• Term rates, multicurve term structures and overnight rate benchmarks: a roll-over risk approach
• Decomposing LIBOR in transition: evidence from the futures markets
• The SOFR and the Fed's influence over market interest rates

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