The starting point for a first possible workaround to the LIBID issue is the observation that, during the crisis, financial intermediaries hoarded cash or invested it in the safest possible assets. Intuitively, then, a bid interest rate like the interbank bid repo rate or a governmental treasury rate might provide a better measure than LIBID of the actual rate of return on short-term bank investment (at least during the crisis period).
Data: (in the excel file) Please answer all questions in the attached pages. To handle them, each group will need to download actual interbank market information from Bloomberg, for every banking business day in the last 13 years (January 1st, 2005 through January 1st, 2020): (i) Bid and asked exchange rates (spot and 1- and […]
