USD LIBOR 2002-2008: predictability in times of credit tightening and expansion - USD LIBOR 1-month autocorrelations, year-by-year comparison

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Written by Forex Automaton   
Tuesday, 13 January 2009 12:15
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USD LIBOR 2002-2008: predictability in times of credit tightening and expansion
USD LIBOR s/n-o/n autocorrelations, year-by-year comparison
USD LIBOR 1-week autocorrelations, year-by-year comparison
USD LIBOR 1-month autocorrelations, year-by-year comparison
USD LIBOR autocorrelations, 3-month and longer terms, year-by-year comparison
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USD 1-month LIBOR autocorrelation, day time scale, rising rates USD 1-month LIBOR autocorrelation, day time scale, falling rates

Fig.4: Autocorrelation of logarithmic returns in the historical 1-week USD LIBOR. Top: as measured in the years of rising interest rates: 2004, 2005, and 2006. Bottom: as measured in the years of falling interest rates: 2002, 2003, 2007, and 2008.

The difference between the two economic regimes -- of rising and falling interests -- is amplified going over from 1-week to 1-month USD LIBOR. In the rising rates regime (Fig.4, top) the distinct positive peaks merge creating an overall positive correlation, modulated by a wave-like pattern. The interest-drop regime shows oscillatory patterns without the overall positive offset of the top plot.



Last Updated ( Monday, 04 January 2010 12:42 )