From turmoil to crisis: Dislocations in the FX swap market before and after the failure of Lehman Brothers

Journal of International Money and Finance

Volumn 28, Issue 8, 2009, Pages 1350-1374

  Baba, Naohiko ^a   Packer, Frank ^a  

^a BANK FOR INTERNATIONAL SETTLEMENTS   (Switzerland)

Author keywords

Central bank cooperation; Counterparty risk; Covered interest parity; Financial market turmoil; FX swap; Lehman bankruptcy; Term auction facility; US dollar swap lines

Indexed keywords

EID: 70949100740     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jimonfin.2009.08.003     Document Type: Article

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