Price discovery in US money market benchmarks: LIBOR vs. SOFR

DOI10.1016/j.econlet.2021.109882zbMath1467.91195OpenAlexW3159251391WikidataQ114185967 ScholiaQ114185967MaRDI QIDQ2036971

Athanasios P. Fassas

Publication date: 30 June 2021

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2021.109882

zbMATH Keywords

price discoveryLIBORSOFRmoney marketinformation shares

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items

The SOFR and the Fed's influence over market interest rates

Cites Work

• Bitcoin futures -- what use are they?
• London vs. Leipzig: price discovery of carbon futures during phase III of the ETS
• An analysis of price discovery between Bitcoin futures and spot markets