The new EURIBOR gets through a challenging 2020
Fecha: enero 2021
José Manuel Amor
Euribor, COVID-19
SEFO, Spanish and International Economic & Financial Outlook, V. 10 N.º 1 (January 2021)
In the aftermath of the financial crisis, regulators proposed a new methodology for calculating EURIBOR. Despite the volatility wrought by COVID-19, this methodology performed well in 2020, reflecting expectations for benchmark rates and perceived bank credit risk and capturing the indirect effects of the dislocation sustained in the FX swap market.