Cottrell, S.Lei, J.Ma, Y.Delpachitra, S.2025-12-182025-12-182025Borsa Istanbul Review, 2025; 25(1):66-782214-84502214-8469https://hdl.handle.net/11541.2/41967Using Credit Default Swaps (CDS) on sovereign bonds, we investigate whether US sovereign default risk is a greater driving factor of domestic interbank funding risk than domestic sovereign default risk across the five Libor counties including Canada and Australia. We use equivalent-country interbank LIBOR-OIS spreads as a proxy for domestic interbank funding risk. Our results show evidence of US sovereign default-risk spillover into global interbank funding markets and that domestic sovereign default risk may not always drive equivalenthome-country interbank funding risk. Our analysis provides important insights into the channels through which sovereign default risk can impact financial stability.enCopyright 2024 Borsa İstanbul Anonim Şirketi. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/)h63sovereign credit default swapsinterbank fundinglibor-oisJournal article10.1016/j.bir.2024.12.011001421830900001