Do liquidity or credit effects explain the behavior of the BKBM-LIBOR differential?

Do liquidity or credit effects explain the behavior of the BKBM-LIBOR differential?

This paper examines the evolution of the relationship between the onshore and offshore benchmarks for New Zealand dollar funding during the global financial crisis. In August 2007 the BKBM-LIBOR differential switched from positive to negative and then widened considerably following the collapse of L...

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Bibliographic Details
Main Authors: Poskitt, Russell, Waller, B.
Format: Journal Article
Published: Elsevier BV 2011
Subjects:
Financial
rate
Interest
differential
LIBOR
crisis
BKBM
Online Access:http://econpapers.repec.org/article/eeepacfin/v_3a19_3ay_3a2011_3ai_3a2_3ap_3a173-193.htm
http://hdl.handle.net/20.500.11937/45956

Internet

http://econpapers.repec.org/article/eeepacfin/v_3a19_3ay_3a2011_3ai_3a2_3ap_3a173-193.htm
http://hdl.handle.net/20.500.11937/45956

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