The impact of a new term auction facility on Libor-OIS spreads and volatility transmission between money and mortgage markets during the subprime crisis

Journal of International Money and Finance

Volumn 31, Issue 5, 2012, Pages 1106-1125

  In, Francis ^a   Cui, Jin ^a   Maharaj, Elizabeth Ann ^a  

^a MONASH UNIVERSITY   (Australia)

Author keywords

Commercial paper spread; Jumbo spread; Libor OIS spread; Subprime crisis; Term auction facility

Indexed keywords

EID: 84861683395     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jimonfin.2011.12.013     Document Type: Article

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