The behaviour of interest rate spreads prior to and after the financial crisis: evidence across OECD countries

Apergis, Nicholas, and Cooray, Arusha (2018) The behaviour of interest rate spreads prior to and after the financial crisis: evidence across OECD countries. Manchester School, 86 (5). pp. 559-585.

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Abstract

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.

Item ID: 69179
Item Type: Article (Research - C1)
ISSN: 1467-9957
Copyright Information: © 2018 The University of Manchester and John Wiley & Sons Ltd
Date Deposited: 30 Sep 2021 00:15
FoR Codes: 38 ECONOMICS > 3801 Applied economics > 380112 Macroeconomics (incl. monetary and fiscal theory) @ 60%
38 ECONOMICS > 3801 Applied economics > 380107 Financial economics @ 40%
SEO Codes: 15 ECONOMIC FRAMEWORK > 1502 Macroeconomics > 150208 Monetary policy @ 100%
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