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dc.contributor.authorApergis, Nicholas
dc.contributor.authorCooray, Arusha
dc.date.accessioned2018-11-28T16:05:33Z
dc.date.available2018-11-28T16:05:33Z
dc.date.issued2018-03-09
dc.identifier.citationApergis, N. and Cooray, A. (2018) ‘The behaviour of interest rate spreads prior to and after the financial crisis: evidence across OECD countries’, The Manchester School, 86 (5), pp. 559-585. doi: 10.1111/manc.12216en
dc.identifier.issn1463-6786
dc.identifier.doi10.1111/manc.12216
dc.identifier.urihttp://hdl.handle.net/10545/623164
dc.description.abstractThis 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.
dc.description.sponsorshipN/Aen
dc.language.isoenen
dc.publisherWileyen
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectInterest rate spreadsen
dc.subjectFinancial crisisen
dc.subjectOECD countriesen
dc.titleThe behaviour of interest rate spreads prior to and after the financial crisis: evidence across OECD countries.en
dc.typeArticleen
dc.identifier.eissn1467-9957
dc.contributor.departmentUniversity of Piraeusen
dc.contributor.departmentUniversity of New South Walesen
dc.identifier.journalThe Manchester Schoolen
html.description.abstractThis 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.


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