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What’s ahead for euro money market benchmarks?

Author

Listed:
  • Daniela Della Gatta

    (Banca d'Italia)

Abstract

This paper illustrates the state of play of the interest rate benchmark reform process. Overnight rates that can be considered risk-free, such as the €STR in the euro area, have been introduced in the main currency areas. The production of rates with a maturity of more than one day, which can replace traditional benchmarks, will depend on the availability of money market data and the different indexing needs. It is reasonable to expect that several types of benchmarks will coexist in the future; this could also entail a risk of market liquidity fragmentation.

Suggested Citation

  • Daniela Della Gatta, 2022. "What’s ahead for euro money market benchmarks?," Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems) 17, Bank of Italy, Directorate General for Markets and Payment System.
    • Handle: RePEc:bdi:wpmisp:mip_017_22
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    File URL: https://www.bancaditalia.it/pubblicazioni/mercati-infrastrutture-e-sistemi-di-pagamento/questioni-istituzionali/2022-017/N.17-MISP.pdf
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    More about this item

    Keywords

    riforma dei tassi benchmark; tassi privi di rischio; tassi a scadenza; clausole di riserva;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • D47 - Microeconomics - - Market Structure, Pricing, and Design - - - Market Design
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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