Ansattprofil

Olav Syrstad

Førsteamanuensis - Institutt for finans

Romnummer B4Y-074
E-post olav.syrstad@bi.no

Biografi

Olav Syrstad earned his Phd. from Norwegian School of Economics and Business Administration in 2021. He served in various roles at the Central Bank of Norway (Norges Bank) from 2008 to 2023, including a oner-year secondment to the Swiss National Bank's markets department in 2012. In 2023, he joined BI Norwegian Business School. His research focuses on empirical asset pricing, banking and monetary economics.

Publikasjoner

Vitenskapelige publikasjoner Andre

Klingler, Sven & Syrstad, Olav (2024)

The SOFR discount

Journal of Financial Economics, 164 Doi: 10.1016/j.jfineco.2024.103989

The transition from London Interbank Offered Rate (LIBOR) to Secured Overnight Financing Rate (SOFR) affects the reference rate of floating-rate debt worth trillions of dollars. We provide the first evidence highlighting a benefit of the benchmark transition for debt markets. Focusing on the market for dollar-denominated floating rate notes (FRNs), we compare the yield spreads of FRNs linked to LIBOR and SOFR, issued by the same entity during the same month. After adjusting for the maturity-matched spreads from derivatives markets, we find significantly lower spreads for SOFR-linked FRNs. We link this SOFR discount to the enhanced price stability of SOFR-linked FRNs.

Syrstad, Olav & Viswanath-Natraj, Ganesh (2022)

Price-setting in the foreign exchange swap market: Evidence from order flow

Journal of Financial Economics, 146(1), s. 119- 142. Doi: 10.1016/j.jfineco.2022.07.004

Rime, Dagfinn; Schrimpf, Andreas & Syrstad, Olav (2022)

Covered Interest Parity Arbitrage

The Review of financial studies Doi: 10.1093/rfs/hhac026

Klingler, Sven & Syrstad, Olav (2021)

Life After Libor

Journal of Financial Economics, 141(2), s. 783- 801. Doi: 10.1016/j.jfineco.2021.04.017

Natvik, Gisle James; Rime, Dagfinn & Syrstad, Olav (2020)

Does publication of interest rate paths provide guidance?

Journal of International Money and Finance Doi: 10.1016/j.jimonfin.2019.102123

Sizova, Elizaveta; Syrstad, Olav & Sævareid, Ingebjørg Hansen (2024)

Rebalancing of Currency Hedging and the Impact on Exchange Rates

[Academic lecture]. IFABS 2024 Shanghai Conference.

Akademisk grad
År	Akademisk institusjon	Grad
2021	Norwegian School of Economics and Business Administration (NHH)	Doctor Philos