| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w29614 |
| 来源ID | Working Paper 29614 |
| Interest Received by Banks during the Financial Crisis: LIBOR vs Hypothetical SOFR Loans | |
| Urban Jermann | |
| 发表日期 | 2022-01-03 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | The credit sensitivity of LIBOR helped lenders during the financial crisis. SOFR is not credit-sensitive and would not have provided that support. The cumulative additional interest from LIBOR during the crisis is estimated to be between 1% to 2% of the notional amount of outstanding loans, depending on the tenor and type of SOFR rate used. The amount of LIBOR business loans owned by banks could have been as high as about 2trn, and the overall additional interest income banks received thanks to LIBOR could have been as high as 30bn dollars. The analysis also shows that a compounded SOFR reduces insurance relative to a term SOFR. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Financial Institutions |
| URL | https://www.nber.org/papers/w29614 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/587287 |
| 推荐引用方式 GB/T 7714 | Urban Jermann. Interest Received by Banks during the Financial Crisis: LIBOR vs Hypothetical SOFR Loans. 2022. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w29614.pdf（250KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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