The SOFR and the Fed’s influence over market interest rates
The secured overnight financing rate (SOFR) is the successor to LIBOR (London interbank offered rate) as a benchmark rate for lending in US dollars. Our results show that the SOFR aligns with the Federal Reserve’s policy target more closely than LIBOR. In addition, short-term market rates are more r...
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| Veröffentlicht in: | Economics letters 2021-12, Vol.209, p.110095, Article 110095 |
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| container_title | Economics letters |
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| creator | Indriawan, Ivan Jiao, Feng Tse, Yiuman |
| description | The secured overnight financing rate (SOFR) is the successor to LIBOR (London interbank offered rate) as a benchmark rate for lending in US dollars. Our results show that the SOFR aligns with the Federal Reserve’s policy target more closely than LIBOR. In addition, short-term market rates are more responsive to the SOFR than to LIBOR. Our findings highlight the advantages of the new benchmark rate over its predecessor.
•The SOFR aligns with the Federal Reserve’s policy target more closely than LIBOR.•Short-term market rates are more responsive to the SOFR than to LIBOR.•Our findings highlight the advantages of the new benchmark rate over LIBOR. |
| doi_str_mv | 10.1016/j.econlet.2021.110095 |
| format | Article |
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| ispartof | Economics letters, 2021-12, Vol.209, p.110095, Article 110095 |
| issn | 0165-1765 1873-7374 |
| language | eng |
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| source | Elsevier ScienceDirect Journals |
| subjects | Collateralized loan obligations Influence Interest rates LIBOR Market rates Secured loans SOFR Target fed funds rate |
| title | The SOFR and the Fed’s influence over market interest rates |
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