How Correlated is LIBOR with Bank Funding Costs?
Posted: 21 Aug 2020
Date Written: June, 2020
In a recent article in the BIS Quarterly Review, authors Schrimpf and Sushko (2019) provide an overview of the LIBOR transition to risk-free rates led by the FSB Official Sector Steering Group (OSSG). They also argue that rates like LIBOR may be desirable because banks “require a lending benchmark that behaves not too differently from the rates at which they raise funding.”
Suggested Citation: Suggested Citation
Bowman, David H. and Scotti, Chiara and Vojtech, Cindy M., How Correlated is LIBOR with Bank Funding Costs? (June, 2020). FEDS Notes No. 2020-06-29, Available at SSRN: https://ssrn.com/abstract=3879324 or http://dx.doi.org/10.17016/2380-7172.2539
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