We develop a dynamic asset pricing model in which monetary policy affects the risk
premium component of the cost of capital. Risk‐tolerant agents (banks) borrow from risk …

We examine the importance of liquidity hoarding and counterparty risk in the US overnight
interbank market during the financial crisis of 2008. Our findings suggest that counterparty …

LIBOR is the London Interbank Offered Rate: a measure of the interest rate at which large
banks can borrow from one another on an unsecured basis. LIBOR is often used as a …

We develop a model of the market for federal funds that explicitly accounts for its two
distinctive features: banks have to search for a suitable counterparty, and once they meet …

Financial crises are associated with reduced volumes and extreme levels of rates for term
inter-bank loans, reflected in one-month and three-month LIBOR. We explain such stress by …

Euro-area sovereign bond and interbank interest rate spreads spiked in the 2007–2009
Global Financial Crisis and the subsequent European Debt Crisis, substantially elevating …

We infer a term structure of interbank risk from spreads between rates on interest rate swaps
indexed to the London Interbank Offered Rate (LIBOR) and overnight indexed swaps. We …

The London Interbank Offered Rate (LIBOR), the predominant family of global short-term
rate benchmarks for the past 40 years, ceased to exist in June 2023. Given the low volumes …

Corporate credit lines are drawn more heavily when funding markets are more stressed.
This covariance elevates expected bank funding costs. We show that credit supply is …

This article seeks to consider the relationship between the sentiment of newswire messages
for a set of major international banks and changes in two important credit measures; the …