Life After LIBOR

50 Pages Posted: 6 Jun 2019

See all articles by Sven Klingler

Sven Klingler

BI Norwegian Business School

Olav Syrstad

Norges Bank

Date Written: August 9, 2019

Abstract

We examine the alternative reference rates that are set to replace the London Interbank Offered Rate (LIBOR) as benchmark rate by the end of 2021. After providing the relevant background, we show that: (i) depending on the marginal lenders, tighter regulatory constraints can either increase or decrease the alternative benchmarks; (ii) increases in the amount of government debt outstanding increase the alternative benchmarks, more so for collateralized rates; (iii) more central bank reserves lower the alternative benchmarks. In addition, we show that term rates based on the alternative reference rates are detached from banks' marginal funding costs.

Keywords: Benchmark Rates, Financial Regulation, Libor, Repo Rates, Collateral

JEL Classification: E43, G12, G18

Suggested Citation

Klingler, Sven and Syrstad, Olav, Life After LIBOR (August 9, 2019). Available at SSRN: https://ssrn.com/abstract=3390856 or http://dx.doi.org/10.2139/ssrn.3390856

Sven Klingler (Contact Author)

BI Norwegian Business School ( email )

Nydalsveien 37
Oslo, 0442
Norway

Olav Syrstad

Norges Bank ( email )

P.O. Box 1179
Oslo, N-0107
Norway

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