From Turmoil to Crisis
Auteur : Naohiko Baba, Frank Packer
Date de publication : 2009
Éditeur : Bank for International Settlements, Monetary and Economic Department
Nombre de pages : 37
Résumé du livre
"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."- -Abstract.