Most central banks effect changes to their target or policy rate in discrete increments (e.g., multiples of 0.25%) following public announcements on scheduled dates. Still, for most applications, researchers rely on the assumption that the policy rate changes linearly with economic conditions and they do not distinguish between dates with and without scheduled [...]
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Posted on January 9th, 2013
Posted on January 7th, 2013
This paper explores the roles played by reference rates in business cycle fluctuations using a medium-scale full-fledged dynamic stochastic general equilibrium (DSGE) model. This model is an extended model of chained-credit-contract model developed by Hirakata, Sudo, and Ueda (2011) estimated by the Japanese data. In the economy, there are interbank as well as [...] Posted on December 18th, 2012
This paper analyzes the effects on the financial system and the real economy of errors in a reference rate, and the subsequent rapid corrections of the rate. In this analysis, the authors use the Financial Macro-econometric Model, which reflects an adverse feedback loop between the financial system and the real economy. The main [...] Posted on December 17th, 2012
The ICMA notes that on 8 November the consultative paper “Strengthening LIBOR – proposal to implement recommendation number 6 of The Wheatley Review of LIBOR” was published; and that this consultation outlines the British Bankers’ Association (BBA’s) proposed timescale for a phased discontinuation of certain LIBOR currencies and maturities in line with the sixth recommendation [...] Posted on December 16th, 2012
This study theoretically investigates the potential role of the reference rate in stabilizing or destabilizing an interbank market with an environment where individual banks cannot fully identify the nature of underlying shocks affecting their interbank transactions. The author shows that a noise-free reference rate based on a sufficient number of sample transactions can [...] 52 pages
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