Register Login
 
  Język Polski   English
baner
Published : 2023-07-28
Vol. 91 No. 2 (2023)

Reference interest rate reforms in selected financial markets

Dominik Kubacki

https://orcid.org/0000-0003-2389-0168

DOI: https://doi.org/10.26354/bb.2.2.91.2023

Abstract

The consequences of the financial crisis and in-depth analyses of financial market practices led, among other things, to the exposure of problems with the use of benchmark rates, particularly LIBOR. Criticism of the LIBOR calculation methodology inspired banking regulators to initiate a reform of this benchmark towards a move away from expert declarations by participating banks to a system based on actual transactions and liquid markets. The article outlines the origins of the LIBOR rate, its characteristics in selected countries and role in today's financial markets. It then shows the basic assumptions behind the reform of money market indices in the US, the UK, Switzerland, the euro area and Japan and compares them with the LIBOR rate.

A key conclusion of the analysis of the reforms of benchmark interest rate indices in the five currency areas is that there is no single common method for setting them and new risk-free (RFR)-type overnight indices that meet international IOSCO standards are now being used. The new RFRs allow for the calculation  of forward reference rates beyond the overnight period, by calculating them on the basis of historically available O/N (backward-looking) rates.

Keywords:

TIBOR, TONA, SARON, SONIA, SOFR, EURIBOR, ESTER, LIBOR, benchmark interest rate, alternative rate

JEL Codes

E43, E44, G21, G28, G23


Details

References

Statistics

Authors

Download files

pdf (Język Polski)

Citation rules

Kubacki, D. (2023). Reference interest rate reforms in selected financial markets. Safe Bank, 91(2), 34–60. https://doi.org/10.26354/bb.2.2.91.2023

Altmetric indicators


Cited by / Share


Licence


Editorial Team
ul. ks. Ignacego Jana Skorupki 4
00-546 Warszawa
email: redakcja@bfg.pl

Publisher:
Bankowy Fundusz Gwarancyjny

About:
Copyright 2019 by
OJS Support and Customization by LIBCOM
Platform & workfow by OJS/PKP