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From turmoil to crisis : dislocations in the FX swap market before and after the failure of Lehman Brothers
Baba, Naohiko (Author), Packer, Frank (Author)

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Abstract
This paper investigates dislocations in the foreign exchange (FX) swap market between the US dollar and three major European currencies. After the failure of Lehman Brothers in September 2008, deviations from covered interest parity (CIP) were negatively associated with the creditworthiness of US financial institutions (as well as that of European institutions), consistent with the deepening of a dollar liquidity problem into a global phenomenon. US dollar term funding auctions by the ECB, SNB, and BoE, as well as the US Federal Reserve commitment to provide unlimited dollar swap lines are found to have ameliorated the FX swap market dislocations.

Language:English
Keywords:finančni trg, trg kapitala, finance, krize, centralne banke, bančništvo, stabilnost sistemov, stečaj, financial market, capital market, finance, crises, central banks, banking, stability of systems, bankruptcy
Work type:Not categorized (r6)
Organization:EF - Faculty of Economics
Year:2009
Publisher:Bank for International Settlements, Monetary and Economic Department
Number of pages:III, 37 str.
Place:Basel
UDC:336.748
COBISS.SI-ID:19246054 Link is opened in a new window
Views:815
Downloads:271
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