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FY360° | Robust financial market benchmarks

Recent scandals involving some financial benchmarks have shaken the confidence in them. Regulators have responded with sanctions and with actions to support more robust benchmarks. This column presents new research on how a benchmark administrator would optimally weigh transaction prices to produce a fixing. Weights assigned to the observed prices should be increasing in the size of the transactions. However, in this setting, it is typically impossible to implement a benchmark in a complete absence of manipulation.


Over-the-counter markets depend on benchmarks – trillions of dollars in loans and swaps are negotiated by reference to benchmark interbank offered rates, such as LIBOR, EURIBOR, and TIBOR.[1] The WM/Reuters fixings are the dominant benchmarks in the over-the-counter foreign exchange market, which covers over $5 trillion per day in transactions.[2] Benchmarks also provide price transparency to markets for commodities such as silver, gold, oil, and natural gas, as well as manufactured products such as pharmaceuticals. [3],[4]

Recent scandals involving the manipulation of LIBOR, EURIBOR, and the WM/Reuters foreign exchange fixings have shaken confidence in financial benchmarks. Global banks are also now more...

More:
www.voxeu.org/article/robust-financial-market-benchmarks


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Jeudi 13 Novembre 2014




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