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Faculty Selected Works of Yiuman Tse
Article
The SOFR and the Fed’s influence over market interest rates
Economics Letters (2021)
  • Ivan Indriawan, Auckland University of Technology
  • Feng Jiao
  • Yiuman Tse, University of Missouri-St. Louis
Link
Abstract
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.


Keywords
  • LIBOR,
  • SOFR,
  • Target fed funds rate
Disciplines
Publication Date
December, 2021
DOI
10.1016/j.econlet.2021.110095
Citation Information
Ivan Indriawan, Feng Jiao and Yiuman Tse. "The SOFR and the Fed’s influence over market interest rates" Economics Letters Vol. 209 (2021)
Available at: http://works.bepress.com/yiuman-tse/136/