THE VILIBOR–EURIBOR SPREAD DYNAMICS DURING THE RECENT FINANCIAL CRISIS
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| Format: | Artículo científico |
| Language: | en |
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Vilniaus Universitetas
2011
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| _version_ | 1876487801165316096 |
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| author | Vytenis Lapinskas |
| author_facet | Vytenis Lapinskas |
| contents | THE VILIBOR–EURIBOR SPREAD DYNAMICS DURING THE RECENT FINANCIAL CRISIS Vytenis Lapinskas Economía y Finanzas VILIBOR EURIBOR financial crisis Interbank interest rates This article deals with the influence of the international financial crisis on the Lithuanian interbank market interest rates. Specifically, VILIBOR–EURIBOR spread dynamics over the period from the beginning of 2005 until the end of 2010 is analysed. The objective of the study was to estimate and describe the main factors affecting the VILIBOR spread. Methods used in the study include a systemic analysis of related studies, historical data analysis and statistical testing. Several episodes of increased market volatility could be clearly identified during the period, under study and the volatility of the data series as well as changes in their statistical properties and interdependence make the statistical analysis of the relationship very complicated. Statistically robust results could be achieved only after introducing several restrictions. The EURIBOR, RIGIBOR and Lithuanian CDS indexes have been found to explain more than 40 percent of the largest VILIBOR spread changes. 2011 artículo científico 2424-6166 https://www.redalyc.org/articulo.oa?id=692273716004 en http://www.redalyc.org/revista.oa?id=6922 Ekonomika application/pdf Vilniaus Universitetas Ekonomika (Lituania) Num.4 Vol.90 |
| format | Artículo científico |
| id | redalyc_692273716004 |
| institution | Redalyc |
| language | en |
| publishDate | 2011 |
| publisher | Vilniaus Universitetas |
| spellingShingle | THE VILIBOR–EURIBOR SPREAD DYNAMICS DURING THE RECENT FINANCIAL CRISIS Vytenis Lapinskas Economía y Finanzas VILIBOR EURIBOR financial crisis Interbank interest rates THE VILIBOR–EURIBOR SPREAD DYNAMICS DURING THE RECENT FINANCIAL CRISIS Vytenis Lapinskas Economía y Finanzas VILIBOR EURIBOR financial crisis Interbank interest rates This article deals with the influence of the international financial crisis on the Lithuanian interbank market interest rates. Specifically, VILIBOR–EURIBOR spread dynamics over the period from the beginning of 2005 until the end of 2010 is analysed. The objective of the study was to estimate and describe the main factors affecting the VILIBOR spread. Methods used in the study include a systemic analysis of related studies, historical data analysis and statistical testing. Several episodes of increased market volatility could be clearly identified during the period, under study and the volatility of the data series as well as changes in their statistical properties and interdependence make the statistical analysis of the relationship very complicated. Statistically robust results could be achieved only after introducing several restrictions. The EURIBOR, RIGIBOR and Lithuanian CDS indexes have been found to explain more than 40 percent of the largest VILIBOR spread changes. 2011 artículo científico 2424-6166 https://www.redalyc.org/articulo.oa?id=692273716004 en http://www.redalyc.org/revista.oa?id=6922 Ekonomika application/pdf Vilniaus Universitetas Ekonomika (Lituania) Num.4 Vol.90 |
| title | THE VILIBOR–EURIBOR SPREAD DYNAMICS DURING THE RECENT FINANCIAL CRISIS |
| topic | Economía y Finanzas VILIBOR EURIBOR financial crisis Interbank interest rates |
| url | https://www.redalyc.org/articulo.oa?id=692273716004 |