Manipulation in Money Markets - Couverture souple

Ewerhart, Christian; Cassola, Nuno

Couverture souple

ISBN 10 : 1249560551 ISBN 13 : 9781249560555

Editeur : Bibliogov, 2012

Synopsis

Interest rate derivatives are among the most actively traded financial instruments in the main currency areas. With values of positions reacting immediately to the underlying index of daily interbank rates, manipulation has become an increasing challenge for the operational implementation of monetary policy. To address this issue, we study a microstructure model in which a commercial bank may have strategic recourse to central bank standing facilities. We characterize an equilibrium in which market rates will be manipulated with strictly positive probability. Our findings have an immediate bearing on recent developments in the sterling and euro money markets.

Détails de l'édition

• Éditeur: Bibliogov
• Date d'édition: 2012
• Langue: anglais
• ISBN 10: 1249560551
• ISBN 13: 9781249560555
• Reliure: Broché
• Nombre de pages: 40
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible