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

DOI10.1016/J.ECONLET.2021.110095zbMATH Open1479.91421OpenAlexW3202369708MaRDI QIDQ823969FDOQ823969

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

Recommendations

• Market anticipation of Fed policy changes and the term structure of interest rates
• Price discovery in US money market benchmarks: LIBOR vs. SOFR
• The Market Model of Interest Rate Dynamics
• scientific article; zbMATH DE number 969940
• Monetary policy and interest rate spreads
• Interest rate dynamics and consistent forward rate curves

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)

Cites Work

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

Cited In (4)

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

This page was built for publication: The SOFR and the Fed's influence over market interest rates

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q823969)