The spillover of money market turbulence to FX swap and cross-currency swap markets

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Naohiko Baba; Frank Packer; Teppei Nagano;
(2008)
  • Journal: BIS Quarterly Review,issue March
  • Subject:
    • jel: jel:G12 | jel:G14 | jel:G15

We analyse the spillover of the turmoil in money markets in the second half of 2007 to FX swap and long-term cross-currency basis swap markets. We find that the use of swap markets to overcome US dollar funding shortages by non-US financial institutions resulted in mark... View more
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