Price discovery in US money market benchmarks: LIBOR vs. SOFR

【Author】 Fassas, Athanasios P.

【Source】ECONOMICS LETTERS

【影响因子】1.469

【Abstract】This note evaluates the price discovery contribution of the chosen successor to LIBOR in the US, i.e., the Secured Overnight Funding Rate (SOFR), using well-established methodologies in the empirical literature. Even though the transition away from LIBOR is supposed to enhance the transparency of benchmark rates, we show that LIBOR still dominates, albeit at a declining pace, the price discovery process in the US money market interest rates. (C) 2021 Elsevier B.V. All rights reserved.

【Keywords】SOFR; LIBOR; Money market; Price discovery; Information shares

【发表时间】2021 JUL

【收录时间】2022-01-02

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