Former U.S. Secretary of the Treasury Timothy F. Geithner and Professor Andrew Metrick survey the causes, events, policy responses, and aftermath of the recent global financial crisis.
Lecture: LIBOR-OIS
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来自 Yale University 的课程
全球金融危机
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与讲师见面
Andrew MetrickMichael H. Jordan Professor of Finance and Management
Yale School of Management
Timothy GeithnerLecturer in Management, Yale SOM, Former U.S. Secretary of the Treasury
Yale School of Management
[MUSIC]
To measure the spread of anxiety from subprime into the overall
financial system, we need a different measure than the ABX.
The ABX, pictures of which we've seen in earlier lessons in this module,
tell us what's happening specifically in subprime.
But they don't allow us to see how worried our market participants about the banks
themselves that may or may not have some of this subprime on their balance sheets.
That may or
may not need to bring investment vehicles back onto their balance sheets.
To do that, we need a different measure and the measure that we will use in this
course Is something called the LIBOR-OIS and that is made up of two components.
It is the spread between two different things, the LIBOR, which is
the London Interbank Offered Rate, which is a measure of the interest rates that
banks charge each other for unsecured dollar funding over various time periods.
Like overnight or one month, or three months.
It's not an actual rate,
it's not something that is reported in transactions.
Rather, there is a survey that is done, or at this time, was done, of banks
saying what would it cost you to borrow in an unsecured way from other banks?
Now, you may have seen in the news that some of these
survey responses were manipulated during some of this time period.
That in fact, they're not completely reliable numbers, certainly,
not at the height of the crisis in 2008.
That fact, which is most certainly true, from all of the evidence that we've seen,
does not affect the conversation that we will have in this module and
the evidence that we've seen.
Those effects are relatively small, and they occur much later,
and they tend to be bank specific.
The overall benchmark rate,
while it might end up being slightly lower in its reporting than the reality was,
if anything, will understate the effects that we will discuss today.
So the first component is the LIBOR, which is an unsecured rate.
As in, Bank X gives money to Bank Y, and if Bank Y can't pay,
Bank X can just go after Bank Y through some kind of liquidation or
bankruptcy procedure but has no actual collateral behind it.
The OIS is going, in contrast,
to be something that is very close to being a secured borrowing rate.
OIS stands for Overnight Index Swap, and this is a relatively
straightforward financial derivative, which just enables the users
of it to swap fixed and floating interest rate obligations.
The OIS rate is generally considered to be a good proxy for
a risk-free interest rate.
So if you want to know,
what's the risk free interest rate over some time period like one month or
three months, market participants will frequently look to the OIS.
Another thing that is sometimes used as this proxy is the actual
yield on government bonds.
So you use U.S. government bonds or U.S.
government bills, for example, for the risk-free rate.
This is actually somewhat problematic because as we now know, in a crisis,
people run to government securities, and
they actually do even better than what you might think a risk-free rate would do.
There is a flight to the safety,
there is a flight to the liquidity that we see in government debt.
So we're not going to use that.
Instead, we will use the OIS.
The details are less important than just the basic idea,
this is something that is a risk-free rate, or a proxy for a risk-free rate.
When we look at the difference between the LIBOR and the OIS, we have a measure for
the riskiness of banks' unsecured borrowing.
If the OIS is like a secured risk-free rate, and
the LIBOR is an unsecured rate that banks have to pay,
then the difference between those two things will reflect how risky we think,
as market participants, it is to lend to banks.
Historically, this spread is very small.
Because historically, there's not much of a concern that a bank will not be able to
pay back its debts over time horizons like overnight, one month, or three months.
And we would see this being below ten basis points.
During the anxiety period of the crisis, this jumps up and during the panic period
that followed Lehman's fall, it spikes up to an enormous level.
We will turn to that in the next lesson.
[MUSIC]
