Abstract

http://ssrn.com/abstract=2212182
 
 

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A Sampling-Window Approach to Transactions-Based Libor Fixing


Darrell Duffie


Stanford University - Graduate School of Business; National Bureau of Economic Research (NBER)

David R. Skeie


Federal Reserve Bank of New York

James I. Vickery


Federal Reserve Bank of New York

February 1, 2013

FRB of New York Staff Report No. 596

Abstract:     
We examine the properties of a method for fixing Libor rates that is based on transactions data and multi-day sampling windows. The use of a sampling window may mitigate problems caused by thin transaction volumes in unsecured wholesale term funding markets. Using two partial data sets of loan transactions, we estimate how the use of different sampling windows could affect the statistical properties of Libor fixings at various maturities. Our methodology, which is based on a multiplicative estimate of sampling noise that avoids the need for interest rate data, uses only the timing and sizes of transactions. Limitations of this sampling-window approach are also discussed.

Number of Pages in PDF File: 21

Keywords: Libor, interbank, transactions-based fixing, sampling window, shadow banking, financial intermediation

JEL Classification: G01, G10, G18, G28

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Date posted: February 5, 2013  

Suggested Citation

Duffie, Darrell and Skeie, David R. and Vickery, James I., A Sampling-Window Approach to Transactions-Based Libor Fixing (February 1, 2013). FRB of New York Staff Report No. 596. Available at SSRN: http://ssrn.com/abstract=2212182 or http://dx.doi.org/10.2139/ssrn.2212182

Contact Information

James Darrell Duffie
Stanford University - Graduate School of Business ( email )
518 Memorial Way
Stanford, CA 94305-5015
United States
650-723-1976 (Phone)
650-725-7979 (Fax)

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
David R. Skeie (Contact Author)
Federal Reserve Bank of New York ( email )
33 Liberty Street
New York, NY 10045
United States
James Ian Vickery
Federal Reserve Bank of New York ( email )
33 Liberty Street
New York, NY 10045
United States
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