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

See all articles by Claudio Morana

Claudio Morana

Università di Milano Bicocca; Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS); Università degli Studi di Milano-Bicocca - Center for European Studies (CefES); Center for Economic Research on Pensions and Welfare Policies (CeRP); Rimini Center for Economic Analysis - Europe ETS; Rimini Center for Economic Analysis - HQ

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

Morana, Claudio, New Insights on the US OIS Spreads Term Structure During the Recent Financial Turmoil (October 9, 2013). Applied Financial Economics, Vol. 24, No. 5, 2014, Available at SSRN: https://ssrn.com/abstract=2245644 or http://dx.doi.org/10.2139/ssrn.2245644

Claudio Morana (Contact Author)

Università di Milano Bicocca ( email )

Dip Economia Metodi Quantitativi Strategie Impresa
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Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS) ( email )

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Università degli Studi di Milano-Bicocca - Center for European Studies (CefES) ( email )

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Center for Economic Research on Pensions and Welfare Policies (CeRP) ( email )

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Italy

Rimini Center for Economic Analysis - Europe ETS ( email )

Piazza Ateneo Nuovo 1
Milan, 20126
Italy

Rimini Center for Economic Analysis - HQ ( email )

900 University Avenue
Riverside, CA 92521
United States

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