From turmoil to crisis: Dislocations in the FX swap market before and after the failure of Lehman Brothers

被引：66
作者：
Baba, Naohiko [1 ]
Packer, Frank [2 ]
机构：
[1] Bank Int Settlements & Bank Japan, Monetary & Econ Dept, CH-4002 Basel, Switzerland
[2] Bank Int Settlements, Representat Off Asia & Pacific, Hong Kong, Hong Kong, Peoples R China
来源：
JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2009年 / 28卷 / 08期
关键词：
FX swap; Covered interest parity; Financial market turmoil; Counterparty risk; US dollar swap lines; Term auction facility; Central bank cooperation; Lehman bankruptcy; JAPAN PREMIUM; DETERMINANTS; ARBITRAGE; RETURNS;
D O I：
10.1016/j.jimonfin.2009.08.003
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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. (C) 2009 Elsevier Ltd. All rights reserved.
引用
收藏
页码：1350 / 1374
页数：25
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