• norsk
    • English
  • English 
    • norsk
    • English
  • Login
View Item 
  •   Home
  • Norges Handelshøyskole
  • Thesis
  • Master Thesis
  • View Item
  •   Home
  • Norges Handelshøyskole
  • Thesis
  • Master Thesis
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

The nature and causes of the Norwegian interbank offered rate

Trandum, Anders; Njølstad, Erlend Salvesen
Master thesis
Thumbnail
View/Open
masterthesis.PDF (2.441Mb)
URI
http://hdl.handle.net/11250/2383398
Date
2015
Metadata
Show full item record
Collections
  • Master Thesis [3258]
Abstract
The importance of interbank rates for unsecured funding has increased vastly the last decades with

the expansion of nancial instruments. Today's interbank rates are arguably the most in

uential

benchmarks in pricing of assets and an important indicator on the state an economy. In the

aftermath of the nancial crisis, the awareness of weaknesses of interbank rates surfaced. The

awareness has led to a tightening of the regulations regarding the Norwegian Interbank O ered

Rate (NIBOR). The purpose of this paper is to identify the nature of NIBOR in both a domestic

and international context, and expand on NIBOR's ability to accurately re

ect the lending cost

between Norwegian prime banks. The rst part of the paper uses the Nelson-Siegel and Vasicek

models to compare o ered rates against observable nancing cost using unsecured corporate bonds.

NIBOR has historically been quoted higher than both STIBOR and EURIBOR, and we nd that

Norwegian banks contributing to NIBOR and STIBOR face the same nancing costs as European

banks contributing to EURIBOR. This implies that the di erences between interbank rates cannot

be justi ed by higher nancing costs. When comparing the interbank rates to domestic nancing

costs, we are unable to determine if banks contributing to NIBOR are more or less accurate in the

Norwegian interbank market compared to other interbank markets where these banks are present.

In the second part of the paper, we compare individual interest rate quotes to credit default

swaps, and observe an inconsistent relationship between panel banks' quotes and their market

priced risk over time. By applying a hidden markov model, we examine individual short term

behavioral dynamics during the opening of the day, and preceding the xing. Our results indicate

that interpretation of information varies across participants, which is a possible weakness of the

governance structure.

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit
 

 

Browse

ArchiveCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsDocument TypesJournalsThis CollectionBy Issue DateAuthorsTitlesSubjectsDocument TypesJournals

My Account

Login

Statistics

View Usage Statistics

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit