鈥淏lack Swans鈥?before the 鈥淏lack Swan鈥?evidence from international LIBOR-OIS spreads

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• 作者：Eric Olson^a ; ^{eolson@pepperdine.edu} ; Scott Miller^a ; ^{Scott.Miller@pepperdine.edu} ; Mark E. Wohar^b ; ^{mwohar@mail.unomaha.edu}
• 关键词：E44 ; E50 ; E49 ; F39 ; G01 ; C32
• 刊名：Journal of International Money and Finance
• 出版年：2012
• 期刊代码：66_02615606
• 类别：soc
• 出版时间：October, 2012
• 卷：31
• 期：6
• 页码：1339-1357
• 文件大小：1121 K

摘要

The LIBOR-OIS spread is a closely monitored indicator of the financial health of economy. Previous research has used this spread to identify and anticipate abrupt changes in financial markets. refer to the drastic increase in the US LIBOR-OIS spread on August 7th, 2007 as a 鈥淏lack Swan鈥?in the money market. In this paper, rather than rely on visual observations of 鈥淏lack Swans鈥?we estimate them using procedure. We estimate structural breaks, Granger causality tests, and innovation accounting in international LIBOR-OIS spreads and a CDS index to better understand their dynamics during the recent crisis. Our results reveal that 鈥淏lack Swans鈥?appeared in smaller economies prior to that in large ones during the financial crisis. In addition, we find that only shocks to the US LIBOR-OIS spread has any statistically significant effects after 30 days.