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Interbank rate fixings during the recent turmoil

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Author Info
Jacob Gyntelberg
Philip Wooldridge
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.

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Article provided by Bank for International Settlements in its journal BIS Quarterly Review.

Volume (Year): (2008)
Issue (Month): (March)
Pages:
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Handle: RePEc:bis:bisqtr:08039g

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Find related papers by JEL classification:
F30 - International Economics - - International Finance - - - General
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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This page was last updated on 2008-4-29.

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