A Comparison of the Information in the LIBOR and CMT Term Structures of Interest Rates

41 Pages Posted: 12 Feb 2014

See all articles by Robert Brooks

Robert Brooks

University of Alabama - Department of Economics, Finance and Legal Studies

Brandon N. Cline

Mississippi State University

Walter Enders

University of Alabama - Department of Economics, Finance and Legal Studies

Date Written: February 11, 2014

Abstract

We investigate the information contained in the London Interbank Offered Rate (LIBOR) and the U.S. Constant Maturity Treasury (CMT) term structure of interest rates and report two novel findings. First, we document that the information contained in terms structures are significantly different from one another. Second, we provide evidence of a significant change in the nature of this difference as the financial crisis began in 2007, a period over which there is alleged collusive behavior in LIBOR settings.

Keywords: Term Structure, Expectations Hypothesis, LIBOR, Forward Rates

JEL Classification: E43

Suggested Citation

Brooks, Robert E. and Cline, Brandon N. and Enders, Walter, A Comparison of the Information in the LIBOR and CMT Term Structures of Interest Rates (February 11, 2014). Available at SSRN: https://ssrn.com/abstract=2394079 or http://dx.doi.org/10.2139/ssrn.2394079

Robert E. Brooks (Contact Author)

University of Alabama - Department of Economics, Finance and Legal Studies ( email )

P.O. Box 870244
Tuscaloosa, AL 35487
United States
205-348-8987 (Phone)
205-348-0590 (Fax)

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Brandon N. Cline

Mississippi State University ( email )

Mississippi State, MS 39762
United States
662.325.7477 (Phone)
662.325.1977 (Fax)

Walter Enders

University of Alabama - Department of Economics, Finance and Legal Studies ( email )

P.O. Box 870244
200 Alston Hall
Tuscaloosa, AL 35487
United States
205-348-8972 (Phone)
205-348-0590 (Fax)

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