Overnight Libor Starting to Look Like Overnight Libor Again
As many are well aware, Overnight Libor has spiked to extremely high levels multiple times over the last few weeks. Historically, the average difference between Overnight Libor and the Fed Funds Rate has been +11 basis points. As shown in the chart below, this traditionally tight spread got extremely out of whack recently as the credit crisis caused havoc. But over the last two days, this spread has gotten back to normal levels, and Overnight Libor is currently at 1.67% versus the Fed Funds Rate of 1.50%. The stabilization of this spread is a clear indication that the credit crisis is easing, and as long as it stays tight, the unfreezing should continue.
Nice!
Posted by: Greg Feirman | October 17, 2008 at 02:38 PM
How to manage Mob behaviour...
Focus their attention on one or two key indicators...manipulate the indicators to instill panic or confidence - works better than a cattle prod.
Posted by: PTDBD | October 19, 2008 at 03:10 PM
no kidding ptdbd, who is pumping V W
Posted by: dj | October 20, 2008 at 10:30 AM
More on the libor spread:
http://www.liborated.com/libor_news02_04_09b.asp
Posted by: Matt | May 08, 2009 at 11:25 PM