Manipulation in Money Markets - Softcover

Ewerhart, Christian; Cassola, Nuno

Softcover

ISBN 10: 1249560551 ISBN 13: 9781249560555

Verlag: Bibliogov, 2012

Inhaltsangabe

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.

Details zur Ausgabe

• Verlag: Bibliogov
• Erscheinungsdatum: 2012
• Sprache: Englisch
• ISBN 10: 1249560551
• ISBN 13: 9781249560555
• Einband: Taschenbuch
• Anzahl der Seiten: 40
• Kontakt zum Hersteller: Nicht verfügbar
• Verantwortliche Person: Nicht verfügbar