Beyond LIBOR: Money Markets and the Illusion of Representativeness
Beyond LIBOR: Money Markets and the Illusion of Representativeness
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超越 LIBOR：货币市场和代表性幻觉
DOI：
10.1080/00213624.2021.1915085
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发表时间：
2020
影响因子：
0.7
通讯作者：
Alexis Stenfors
中科院分区：
文献类型：
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作者：
Lilian Muchimba;Alexis Stenfors
摘要货币市场基准是经济主体的重要指标。它们对各国央行评估货币传导机制的利率渠道的功能也至关重要。然而，尽管无担保银行间货币市场通常被视为包括期限不超过一年的工具，但它似乎由两个市场组成。超短期货币市场(通常只有一天)规模庞大，流动性强，交易规律。相比之下，术语货币市场(1个月、3个月或6个月)规模小、流动性差，很少有交易。本文探讨了创建和维持一个不代表基础流动性市场的货币市场基准的可行性。从社会学的角度来看，它涉及金融基准的两个关键方面：(1)它们与决定它们的对象有关，但又是分开的和不同的；(2)它们是衡量标准，因此不能买卖(Stenfors和Lindo 2018)。通过这样做，文章还反思了伦敦银行间同业拆借利率操纵丑闻后金融监管机构希望用基于交易的基准取代基于估计的基准的愿望，以及传统央行理论中的一些挑战和矛盾。
Abstract Money market benchmarks are important indicators for economic agents. They are also crucial for central banks in assessing the functioning of the interest rate channel of the monetary transmission mechanism. However, whereas the unsecured interbank money market conventionally has been seen as encompassing instruments with maturities up to one year, it appears as if it consists of two markets. The ultra-short-term money market (typically just one day) is large, liquid, and traded regularly. The term money market (one, three or six months), by contrast, is small, illiquid and rarely traded. This article explores the feasibility of creating and maintaining a money market benchmark which does not represent an underlying liquid market. From a sociological perspective, it addresses two critical aspects of financial benchmarks: (1) that they are related to but separate and distinct from the objects determining them and (2) that they are measurements and as such cannot be bought or sold (Stenfors and Lindo 2018). By doing so, the article also reflects upon the desire by financial regulators following the LIBOR manipulation scandal to replace estimation-based by transaction-based benchmarks, as well as some challenges and contradictions in conventional central banking theory.
巴黎经济学院/巴黎第一大学（法国）
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