Abstract

http://ssrn.com/abstract=1517683
 
 

References (14)



 
 

Citations (14)



 


 



Interbank Rate Fixings during the Recent Turmoil


Jacob Gyntelberg


Danske Bank

Philip D. Wooldridge


Bank for International Settlements (BIS)

March 3, 2008

BIS Quarterly Review, March 2008

Abstract:     
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, G15

Accepted Paper Series


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Date posted: July 10, 2012  

Suggested Citation

Gyntelberg, Jacob and Wooldridge, Philip D., Interbank Rate Fixings during the Recent Turmoil (March 3, 2008). BIS Quarterly Review, March 2008. Available at SSRN: http://ssrn.com/abstract=1517683

Contact Information

Jacob Gyntelberg (Contact Author)
Danske Bank ( email )
DK-1092 Copenhagen K
Denmark
Philip D. Wooldridge
Bank for International Settlements (BIS) ( email )
CH-4002 Basel, Basel-Stadt
Switzerland
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