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« Economic Volatility: Is the Great Moderation Over? | Main | Financial System Risk: More on Today vs. the Past »

October 08, 2008

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Comments

Rodney

According to Wikipedia, "BBA LIBOR fixings did not commence officially before 1 January 1986, although before that some rates have been fixed for a trial period commencing in December 1984."

So how exactly are you constructing the TED spread prior to this date?


tom desrosier

Thanks.

You're about the only guy whose got a little optimism.

And that's important.

Tom Desrosier
http://www.dare2believe.com

Bill Conerly

Rodney, I downloaded LIBOR data from www.FreeLunch.com. They cite "daily press" as their source. Perhaps the basic data were being published before the BBA got involved. That raises the question of data comparability, but I'd guess if one looked only at broad trends that's not a problem.

ckt (msia)

It's too early to call.

At least let the line finish drawing, maybe we'll see the worst spread in the history.

Of course, we all will survive through this crisis, physically speaking.

But monetary?

D

In response to the earlier comment about the ted spreads before 1986, I found a 1992 article talking about ted spreads before that time.

In the article, the writer comments,
"Since 1974, he notes, peaks in the
spread have gotten ever smaller."

http://www.iht.com/articles/1992/06/06/mrte.php

So one can infer that the ted spread had been used and watched for quite some time before that.

Unfortunately, the article doesn't say when ted spreads first became an indicator for credit tightness and laxity

Happy Reading!

Immigration Advice

Hey, nice job on the blog here. Some good ideas. Keep up the good work.

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