The behaviour of interest rate spreads prior to and after the financial crisis: evidence across OECD countries.
Journal article
Authors | Apergis, Nicholas and Cooray, Arusha |
---|---|
Abstract | This study investigates the impact of the 2008 global financial crisis on interest rate spreads across OECD countries, using a number of panel methodological approaches, over the 1990–2015 period. We examine the differential impact of the global financial crisis on interest rate spreads by dividing the sample period into two, i.e. the period prior to and after the crisis. Having identified and estimated the impact of a number of drivers on interest rate spreads, the findings document that after the 2008 financial crisis, the sensitivity of spreads to its determinants turn out to be statistically significant and incorporate credit risk to a greater extent. The findings survive a number of robustness checks. The policy implications of the empirical findings are also discussed. |
Keywords | Interest rate spreads; Financial crisis; OECD countries |
Year | 2018 |
Journal | The Manchester School |
Publisher | Wiley |
ISSN | 1463-6786 |
1467-9957 | |
Digital Object Identifier (DOI) | https://doi.org/10.1111/manc.12216 |
Web address (URL) | http://hdl.handle.net/10545/623164 |
http://creativecommons.org/licenses/by-nc-nd/4.0/ | |
hdl:10545/623164 | |
Publication dates | 09 Mar 2018 |
Publication process dates | |
Deposited | 28 Nov 2018, 16:05 |
Contributors | University of Piraeus and University of New South Wales |
File | File Access Level Open |
File | File Access Level Open |
File | |
File | File Access Level Controlled |
https://repository.derby.ac.uk/item/95310/the-behaviour-of-interest-rate-spreads-prior-to-and-after-the-financial-crisis-evidence-across-oecd-countries
Download files
21
total views13
total downloads0
views this month0
downloads this month