Abstract - Deciphering the Libor and Euribor Spread during the Subprime crisis

There has been a persistent spread during the Subprime crisis between the interbank rate and monetary policy rates. In this paper we provide an overview of the main variables that are affecting this spread and perform an empirical analysis to assess their role in explaining the dynamic of this spread during the current crisis.

Loriana Pelizzon
Università Ca' Foscari Venezia
16.Dec 2008

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