The behaviour of interest rate spreads prior to and after the financial crisis: evidence across OECD countries
Journal Publication ResearchOnline@JCUAbstract
This study investigates the impact of the 2008 global financial crisis on interest rate spreads across OECD countries, using a number of panel methodological approaches, over the 1990–2015 period. We examine the differential impact of the global financial crisis on interest rate spreads by dividing the sample period into two, i.e. the period prior to and after the crisis. Having identified and estimated the impact of a number of drivers on interest rate spreads, the findings document that after the 2008 financial crisis, the sensitivity of spreads to its determinants turn out to be statistically significant and incorporate credit risk to a greater extent. The findings survive a number of robustness checks. The policy implications of the empirical findings are also discussed.
Journal
Manchester School
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N/A
Volume
86
ISBN/ISSN
1467-9957
Edition
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Issue
5
Pages Count
27
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Publisher
Wiley-Blackwell
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Publisher Location
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Publish Date
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Date
N/A
EISSN
N/A
DOI
10.1111/manc.12216