Abstract

http://ssrn.com/abstract=1183671
 
 

Citations (50)



 
 

Footnotes (14)



 


 



The Effect of the Term Auction Facility on the London Inter-Bank Offered Rate


James McAndrews


Federal Reserve Bank of New York

Asani Sarkar


Federal Reserve Bank of New York

Zhenyu Wang


Indiana University, Kelley School of Business

July 2008

FRB of New York Staff Report No. 335

Abstract:     
This paper examines the effects of the Federal Reserve's Term Auction Facility (TAF) on the London Inter-Bank Offered Rate (LIBOR). The particular question investigated is whether the announcements and operations of the TAF are associated with downward shifts of the LIBOR; such an association would provide one indication of the efficacy of the TAF in mitigating liquidity problems in the interbank funding market. The empirical results suggest that the TAF has helped to ease strains in this market.

Number of Pages in PDF File: 27

Keywords: LIBOR, liquidity, money markets, Term Auction Facility

JEL Classification: G10, G12, G18, G19

working papers series





Download This Paper

Date posted: July 28, 2008  

Suggested Citation

McAndrews, James and Sarkar, Asani and Wang, Zhenyu, The Effect of the Term Auction Facility on the London Inter-Bank Offered Rate (July 2008). FRB of New York Staff Report No. 335. Available at SSRN: http://ssrn.com/abstract=1183671 or http://dx.doi.org/10.2139/ssrn.1183671

Contact Information

James McAndrews (Contact Author)
Federal Reserve Bank of New York ( email )
33 Liberty Street
New York, NY 10045
United States
212-720-5063 (Phone)
212-720-8353 (Fax)
Asani Sarkar
Federal Reserve Bank of New York ( email )
Research Department
33 Liberty Street
New York, NY 10045
United States
212-720-8943 (Phone)
212-720-1582 (Fax)
HOME PAGE: http://www.newyorkfed.org/research/economists/sarkar/pub.html
Zhenyu Wang
Indiana University, Kelley School of Business ( email )
1309 E. 10th St.
Bloomington, IN 47405
United States
HOME PAGE: http://www.kelley.iu.edu/Finance/Faculty/page12594.cfm?ID=37555

Feedback to SSRN


Paper statistics
Abstract Views: 2,012
Downloads: 480
Download Rank: 32,719
Citations:  50
Footnotes:  14

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo4 in 0.359 seconds