Interbank Rate Fixings during the Recent Turmoil
Bank for International Settlements (BIS) - Monetary and Economic Department
Philip D. Wooldridge
Bank for International Settlements (BIS)
March 3, 2008
BIS Quarterly Review, March 2008
The turmoil in global interbank markets in the second half of 2007 raises questions about the robustness of interbank rate fixings. A comparison of alternative fixings for similar interest rates confirms that they diverged to an unusual extent. Nevertheless, the design of fixing mechanisms worked as intended to moderate the influence of strategic behaviour and changing perceptions of credit quality.
Number of Pages in PDF File: 14
JEL Classification: F30, G12, G15Accepted Paper Series
Date posted: July 10, 2012
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