ARTICLE
ABSTRACT
Spreads between the LIBOR rate and fixed rate of the OIS contract of the same maturity are good indicators of respective interbank markets condition. In this article their dynamics is used to determine directions of subprime and debt crises transmission among the interbank markets of the United States, the euro zone and Poland. In our analysis we used VAR-BEKK models and determined impulses response in conditional mean and conditional variance processes.
KEYWORDS
VAR models, BEKK models, impulse response function, LIBOR-OIS spread
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