Euribor evolution and risk on Banks' assets

  • Laura Barbas Rodrigues (Student)

Student thesis: Master's Thesis

Abstract

This study investigates how Euribor rate affects the risk on banks’ assets. With the recent financial crisis, the effect of turbulence on interbank markets has created a need to explore forces that have caused multiple uncommon phenomena in markets. On the one hand, Euribor rate witnessed drastic values, specifically reached values below zero. On the other hand, the volatility of banks’ risk spreads soared. Considering the vast literature review, we use three-month Euribor dataset from Thomson Datastream between 2000 and 2015, and iTraxx dataset from Markit to construct an autoregressive model, addressing the possibility of structural breaks (Bai and Perron, 1998; 2003a). We concluded that (i) the Euribor is not the main instrument to explain the behavior of spreads in the financial markets; and (ii) with our econometric model we are unable to obtain statistical inference to draw conclusions about Euribor predictions based on iTraxx series. The co-breaking problem stands out in our analysis.
Date of Award11 Jul 2016
Original languageEnglish
Awarding Institution
  • Universidade Católica Portuguesa
SupervisorCarlos Manuel Ferreira dos Santos (Supervisor)

Keywords

  • iTraxx
  • Co-breaking
  • Banks’ assets
  • Monetary policies
  • Financial crisis

Designation

  • Mestrado em Finanças

Cite this

'