The Financial Crisis through the Lens of Foreign Exchange Swap Markets

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Crystal Ossolinski; Andrew Zurawski; (2010)
  • Subject: foreign exchange; foreign exchange swap basis; cross-currency basis swap; global financial crisis; covered interest parity; US dollar swap lines

During the financial crisis, non-US banks relied increasingly on foreign exchange swap markets to fund their US dollar asset holdings. This caused the cost of borrowing US dollars via the swap market to rise above the measured cost of borrowing US dollars directly in mo... View more
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