Original title: Přechod od IBORů na nové benchmarkové sazby
Translated title: The transition from IBORs to new benchmarks
Authors: Ratajová, Kateřina ; Polák, Petr (advisor) ; Čech, František (referee)
Document type: Master’s theses
Year: 2022
Language: eng
Abstract: [eng] [cze]
The manipulation of LIBOR (London Interbank O ered Rate) and other issues around the interbank o er rates have led to their replacement by overnight rates. Some interbank o ered rates ceased at the end of 2021. Thus, this thesis is devoted to observing their behavior, estimating their drivers, and comparing them. For analysis of the rates' drivers is used ARIMAX model, which is an ARIMA model extended by exogenous variables. The possible drivers are indexes, which indicate volatility, sensibility, financial stress, and liquidity. Among key findings of this thesis are that the European IBOR rates are more prone to market volatility, which explains the impact of the European stock index. Furthermore, Bloomberg's indexes of financial condition are a good indicator for both European IBOR rates as well as British pound LIBOR and SONIA. In the US, USD LIBOR reacts to a liquidity index, while SOFR to the volatility in the market. JEL Classification F33, F37, G15, G2 Keywords interbank rates, transition, financial conditions index, LIBOR Title The transition from IBORs to new benchmarks Manipulace s úrokov˝mi sazbami LIBOR a dalöí problémy kolem mezibankovních sazeb vedly k jejich nahrazení nov˝mi jednodenními sazbami. Mnohé skon ily na konci roku 2021. Tato práce je v nována porovnáváním sazeb IBOR a nov˝ch jednodenních sazeb a odhadování jejich determinant . K anal˝ze je vyuûíván model ARIMAX, coû je rozöí ení ARIMA modelu o exogenní prom nné. Moûn˝mi hybateli jsou indexy, které indikují volatilitu, sentiment, finan ní stres a likviditu. Klí ov˝m zjiöt ním bylo, ûe evropské sazby IBOR jsou náchyl- n jöí k volatilit trhu neû jednodenní sazba ESTR, coû vysv tluje dopad evrop- ského akciového indexu. Krom toho jsou indexy finan ní situace z Bloombergu dobr˝m ukazatelem jak pro evropské sazby IBOR, tak pro britsk˝ LIBOR a SONIA. V USA, indexem likvidity lze vysv tlovat dolarov˝ LIBOR, zatímco SOFR lze vysv tlit volatilitou trhu. Klasifikace JEL F33, F37, G15, G2 Klí ová slova mezibankovní sazby, p echod, index pod- mínek financování, LIBOR Název práce P echod od IBOR na novém bench- markové sazby
Keywords: index finanční situace; LIBOR; mezibankovní sazby; přechod; financial condition index; interbank rates; LIBOR; transition

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/174093

Permalink: http://www.nusl.cz/ntk/nusl-506711


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses