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A vector-autoregression analysis of credit and liquidity factor dynamics in US LIBOR and Euribor swap markets

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  • Finbarr Murphy
  • Bernard Murphy

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  • Finbarr Murphy & Bernard Murphy, 2012. "A vector-autoregression analysis of credit and liquidity factor dynamics in US LIBOR and Euribor swap markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(2), pages 351-370, April.
    • Handle: RePEc:spr:jecfin:v:36:y:2012:i:2:p:351-370
    DOI: 10.1007/s12197-010-9122-2
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    More about this item

    Keywords

    Vector Autoregression; OIS Spreads; Credit; Liquidity; C32; G01; G15;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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