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Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Bank Funding Costs and the new reference rate SARON |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 58 |
| Date | 2023 |
| Abstract Text | During the global financial crisis, a detachment of the LIBOR from banks’ borrowing costs led to investigations, revealing severe misreporting of quotes in the fixing methodology. Subsequently, the LIBOR was discontinued and replaced by the SARON in Switzerland. By estimating bank level average borrowing costs of major Swiss banks and applying a Difference-in-Differences model, this thesis analyzes their evolution and drivers. Monetary policy, market risk and the term structure of liabilities significantly influence borrowing costs, while no advantage for too-big-to-fail banks is identified. In addition, SARON is more correlated to the estimated borrowing costs than LIBOR, indicating a better fit. |
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