Papers, wiki, Option Blackboard, encyclopedia, and cards.
Applying historical data from the USD LIBOR transition period, we estimate a joint model for SOFR, Fed Funds, and Eurodollar futures rates as well as spot USD LIBOR and term repo rates. The framework endogenously models basis spreads between each of the benchmark rates and allows for the decomposition of spreads. Modelling the LIBOR-OIS spread as credit and funding-liquidity roll-over risk, we find that the spike in …
We provide a large-scale empirical audit of DEX routing using 2.98 million WETH-USDC swaps on Ethereum. Comparing realized routes with optimized benchmarks, we measure an average shortfall of 2.02 bps per trade or \$24 million. To attribute losses, we introduce three reproducible optimal benchmarks: a Support-Constrained Optimum (SCO) that evaluates split quality conditional on the pools actually used; a Full-Venue O…
Comparing DXY with an EM FX basket helps assess whether dollar strength is becoming a broader external-financing stress event for emerging markets.
TED Spread measures the difference between interbank lending rates and short-term U.S. government bill yields, historically used as a gauge of credit and funding stress.
SOFR is the Secured Overnight Financing Rate, a key benchmark for U.S. dollar funding based on overnight Treasury repo transactions.
A Financial Conditions Index aggregates variables such as rates, credit spreads, equities, and the dollar to measure how supportive or restrictive the market environment is for growth and risk assets.
DXY Index measures the U.S. dollar against a basket of major currencies and serves as a broad gauge of dollar strength and global financial conditions.
USD/JPY cross-currency basis measures the extra cost of obtaining dollars through FX swap markets and is a key indicator of offshore dollar funding stress.
Funding stress signal derived from FX swap pricing distortions and balance sheet constraints.
Trade Weighted Dollar — Broad USD strength index affecting global financial conditions.
Dollar Gamma (Derivatives).
Eurodollar Futures Legacy — Legacy CME short-rate futures still relevant for curve history.
Bloomberg Dollar Spot Index (FX).
Tourist Dollar Demand — Seasonal real-money FX flows from travel and remittances.
Petrodollar Recycling (FX).
Global Dollar Liquidity (Macro Policy).
Soft Dollars (Systems).
Dollarization (FX).
Eurodollar Legacy Futures — Legacy LIBOR STIR futures superseded by SOFR contracts.
Dollar Smile Theory — USD strength in both risk-off and US exceptionalism regimes.
Eurodollar Cross Asset (FX).
Dollar Smile EURUSD (FX).
Dollar Smile USDJPY (FX).
Dollar Smile GBPUSD (FX).
Dollar Smile AUDUSD (FX).
Dollar Smile USDCAD (FX).
Dollar Smile USDCHF (FX).
Dollar Smile NZDUSD (FX).
Dollar Smile USDCNH (FX).
Dollar Smile USDTRY (FX).
Dollar Smile USDMXN (FX).
Dollar Smile USDZAR (FX).
Dollar Smile USDINR (FX).
Dollar Smile USDKRW (FX).
Dollar Smile USDBRL (FX).
Dollarization Risk Brazil (Emerging Markets).
Dollarization Risk Mexico (Emerging Markets).
Dollarization Risk Chile (Emerging Markets).
Banking Dollarization Brazil (Emerging Markets).
Banking Dollarization Chile (Emerging Markets).
Banking Dollarization China (Emerging Markets).
Banking Dollarization Colombia (Emerging Markets).
Banking Dollarization Czech (Emerging Markets).
Banking Dollarization Egypt (Emerging Markets).
Banking Dollarization Hungary (Emerging Markets).
Banking Dollarization India (Emerging Markets).
Banking Dollarization Indonesia (Emerging Markets).
Banking Dollarization Korea (Emerging Markets).
Banking Dollarization Malaysia (Emerging Markets).
Banking Dollarization Mexico (Emerging Markets).
Banking Dollarization Nigeria (Emerging Markets).
Banking Dollarization Peru (Emerging Markets).
Banking Dollarization Philippines (Emerging Markets).
Banking Dollarization Poland (Emerging Markets).
Banking Dollarization South Africa (Emerging Markets).
Banking Dollarization Taiwan (Emerging Markets).
Banking Dollarization Thailand (Emerging Markets).
Banking Dollarization Turkey (Emerging Markets).
Bloomberg Dollar Spot Index (FX).
Dollar Gamma (Derivatives).
Comparing DXY with an EM FX basket helps assess whether dollar strength is becoming a broader external-financing stress event for emerging markets.
Dollar Smile AUDUSD (FX).