A Simple Interest Rate Model with Unobserved Components: The Role of the Interbank Reference Rate
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- Muto, Ichiro, 2017. "The role of the reference rate in an interbank market with imperfect information," Global Finance Journal, Elsevier, vol. 34(C), pages 16-31.
- Muto, Ichiro, 2012. "A Simple Interest Rate Model with Unobserved Components: The Role of the Interbank Reference Rate," MPRA Paper 43220, University Library of Munich, Germany.
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Cited by:
- Shun Kobayashi, 2012. "Application of a Search Model to Appropriate Designing of Reference Rates: Actual Transactions and Expert Judgment," Bank of Japan Working Paper Series 12-E-13, Bank of Japan.
- Nao Sudou, 2012. "Financial Markets, Monetary Policy and Reference Rates: Assessments in DSGE Framework," Bank of Japan Working Paper Series 12-E-12, Bank of Japan.
- Hiroshi Kawata & Tomiyuki Kitamura & Koji Nakamura & Yuki Teranishi & Saiki Tsuchiya, 2012. "Effects of the Loss and Correction of a Reference Rate on Japan's Economy and Financial System: Analysis Using the Financial Macro-econometric Model," Bank of Japan Working Paper Series 12-E-11, Bank of Japan.
- Heung Soon Jung & Dong Jin Lee & Tae Hyo Gwon & Se Jin Yun, 2015. "Reference Rates and Monetary Policy Effectiveness in Korea," Working Papers 2015-27, Economic Research Institute, Bank of Korea.
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More about this item
Keywords
Interbank Market; Reference Rate; LIBOR; Imperfect Information; Financial Stability; Transmission Mechanism of Monetary Policy;All these keywords.
JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2014-09-25 (Banking)
- NEP-MAC-2014-09-25 (Macroeconomics)
- NEP-MON-2014-09-25 (Monetary Economics)
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