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

DOI10.1016/j.econlet.2021.110095zbMath1479.91421OpenAlexW3202369708MaRDI QIDQ823969

Yiuman Tse, Feng Jiao, Ivan Indriawan

Publication date: 14 December 2021

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2021.110095

zbMATH Keywords

LIBORSOFRtarget fed funds rate

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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