Open AccessUpcoming Christmas jump in LIBOR
Author(s) -
Vikenty Mikheev,
Serge E. Miheev
Publication year - 2020
Publication title -
f1000research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.099
H-Index - 60
ISSN - 2046-1402
DOI - 10.12688/f1000research.26024.1
Subject(s) - libor , jump , economics , physics , monetary economics , quantum mechanics , interest rate
Background: London Interbank Offered Rate (LIBOR) exists since 1986 as a benchmark interest rate. Methods: Using two-layer linear regression method, we found a pattern of shortterm nature in LIBOR behaviour. Results: To wit, 2-month LIBOR experiences a jump after Xmas for the last two decades. The direction and size of the jump depend on the data trend on 21 days before Xmas. Conclusions: The obtained results can be used to build a winning strategy on the Swap Market.