財金系擬於 5/9(五) 邀請 Prof. 廖子翔，至本所進行專題演講，相關訊息如下：

時間: 5/9(五) 10:30-12:00

地點: 管理學院一號館4F 405室

演講人: Prof. 廖子翔

講題: Spillovers of International Money Markets and Market Volatility

Abstract:

This paper investigates international spillovers of short- and long-term LIBOR-OIS spreads

across different currencies, and examines whether the spillovers of money markets affect market

volatility. This paper uses the generalized VAR approach suggested by Diebold and Yilmaz (2012) to

explore these issues. Using money market data of the Euro Zone, the U.K., and the U.S., the empirical

results show that the one- and twelve-month LIBOR-OIS spreads of the U.S. have a large effect on the

LIBOR-OIS spreads of other currencies. Furthermore, the results provide evidence that the spillover

pattern of one-month LIBOR-OIS spreads is different from that of the twelve-month LIBOR-OIS

spreads. Finally, this paper finds that the total spillover index of twelve-month LIBOR-OIS spreads is

more important on market volatility than that of one-month LIBOR-OIS spreads.