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Abstract The secured overnight financing rate (SOFR) is the successor to LIBOR (London interbank offered rate) as a benchmark rate for lending in US dollars. Our results show that the… Click to show full abstract
Abstract The secured overnight financing rate (SOFR) is the successor to LIBOR (London interbank offered rate) as a benchmark rate for lending in US dollars. Our results show that the SOFR aligns with the Federal Reserve’s policy target more closely than LIBOR. In addition, short-term market rates are more responsive to the SOFR than to LIBOR. Our findings highlight the advantages of the new benchmark rate over its predecessor.
Keywords:
market;
influence market;
rate;
sofr fed;
market interest;
fed influence
Journal Title: Economics Letters
Year Published: 2021
Link to full text (if available)
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Journal Title: Economics Letters
Year Published: 2021
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!