Open AccessUpcoming Christmas jump in LIBOR
Author(s) -
V. S. 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.
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom