An early warning indicator for liquidity shortages in the interbank market
研究了一个用于预测短期银行间市场流动性短缺的早期预警指标，通过自回归两状态机制转换模型识别结构突变，并利用LIBOR-OIS利差的变化来预警流动性危机。
Abstract This study investigates an early warning indicator for liquidity shortages in the short‐term interbank market. To identify structural breaks and their persistence, an autoregressive two‐state regime switching model is presented. The variability in the LIBOR–OIS spread along with thresholds, which delimit four intensities, reveals regime changes consistent with liquidity crashes. The transition between the states is state dependent, and the posterior estimates for the crisis and noncrisis states are estimated using the Gibbs sampler. We forecast our early warning indicator up to December 2011 and show that the estimates are superior to a random walk with drift. Therefore, the model is an effective early warning indicator of an imminent liquidity shortage impacting the interbank market.