New Insights on the US OIS Spreads Term Structure During the Recent Financial Turmoil
49 Pages Posted: 6 Apr 2013 Last revised: 28 May 2014
Date Written: October 9, 2013
Abstract
The paper investigates the statistical features of the US OIS spreads term structure during the recent financial turmoil, originating from the subprime crisis and the ensuing euro area sovereign debt crisis. By means of a comprehensive econometric modeling strategy, new insights on US money market dynamics during the latter events are achieved. In particular, three common factors, bearing the interpretation of level, slope and curvature factors, are extracted from the term structure of US OIS spreads; the latter are found to convey additional information, relatively to commonly used credit risk measures like the TED or the BAA-AAA corporate spreads, which might be exploited, also within a composite indicator, for the construction of a macoreconomic risk barometer and macroeconomic forecasting.
Keywords: subprime crisis, euro area sovereign debt crisis, US OIS spreads, risk barometer
JEL Classification: E43, G1
Suggested Citation: Suggested Citation