A Comparison of the Information in the LIBOR and CMT Term Structures of Interest Rates
41 Pages Posted: 12 Feb 2014
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: Suggested Citation