文章基本信息

标题：Manipulation in Money Markets
本地全文：下载
作者：Christian Ewerhart ; Nuno Cassola ; Steen Ejerskov 等
期刊名称：International Journal of Central Banking
印刷版ISSN：1815-4654
出版年度：2007
卷号：2007
期号：01
出版社：IJCB Publications Fulfillment
摘要：Interest rate derivatives are among the most actively traded financial instruments in the main currency areas. With values of positions reacting immediately to the underlying index of daily interbank rates, manipulation has become an increasing challenge for the operational implementation of monetary policy. To address this issue, we study a microstructure model in which a commercial bank may have strategic recourse to central bank standing facilities. We characterize an equilibrium in which market rates will be manipulated with strictly positive probability. Our findings have an immediate bearing on recent developments in the sterling and euro money markets.