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Interbank Rate Fixings during the Recent Turmoil

14 Pages Posted: 10 Jul 2012  

Jacob Gyntelberg

Copenhagen Business School

Philip D. Wooldridge

Bank for International Settlements (BIS)

Date Written: March 3, 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.

JEL Classification: F30, G12, G15

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: https://ssrn.com/abstract=1517683

Jacob Gyntelberg (Contact Author)

Copenhagen Business School ( email )

Solbjerg Plads 3
Frederiksberg C, DK - 2000
Denmark

Philip D. Wooldridge

Bank for International Settlements (BIS) ( email )

CH-4002 Basel, Basel-Stadt
Switzerland

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