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This note evaluates the price discovery contribution of the chosen successor to LIBOR in the US, i.e., the Secured Overnight Funding Rate (SOFR), using well-established methodologies in the empirical literature. Even though the transition away from LIBOR is supposed to enhance the transparency of benchmark rates, we show that LIBOR still dominates, albeit at a declining pace, the price discovery process in the US money market interest rates.
•This note examines price discovery in the US short-term benchmark rates.•Price discovery is the process by which new information is reflected into rates.•LIBOR still dominates the price discovery process in the US money market rates.•SOFR contribution to price discovery has increased during 2020.