Decomposing LIBOR in transition: evidence from the futures markets
利用美元LIBOR过渡期的历史数据，联合建模SOFR、联邦基金和欧洲美元期货利率及现货LIBOR和定期回购利率，分解基准利率间的基差，发现COVID-19期间LIBOR-OIS利差飙升主要源于信用风险，而平均而言信用与融资流动性风险贡献相当。
Applying historical data from the USD LIBOR transition period, we estimate a joint model for SOFR, Federal Funds, and Eurodollar futures rates as well as spot USD LIBOR and term repo rates. The framework endogenously models basis spreads between each of the benchmark rates and allows for the decomposition of spreads. Modelling the LIBOR-OIS spread as credit and funding-liquidity roll-over risk, we find that the spike in the LIBOR-OIS spread during the onset of COVID-19 was mainly due to credit risk, while on average credit and funding-liquidity risk contribute equally to the spread.