The SOFR and the Fed's influence over market interest rates

DOI10.1016/J.ECONLET.2021.110095MaRDI QIDQ823969zbMATHOpenAlexFDO

Authors Ivan Indriawan, Feng Jiao, Yiuman Tse

Publication date 14 December 2021

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2021.110095

zbMATH Keywords

LIBORSOFRtarget fed funds rate

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

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

Cited in

(4)

• Canonical Dynamics Mechanism of Monetary Policy and Interest Rate
• Price discovery in US money market benchmarks: LIBOR vs. SOFR
• Estimating the money market microstructure with negative and zero interest rates
• Interest rate swaps: a comparison of compounded daily versus discrete reference rates

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