Interbank rate fixings during the recent turmoil

3 March 2008

The turmoil in global interbank markets in the second half of 2007 raises questions about the robustness of interbank rate fixings. A comparison of alternative fixings for similar interest rates confirms that they diverged to an unusual extent. Nevertheless, the design of fixing mechanisms worked as intended to moderate the influence of strategic behaviour and changing perceptions of credit quality.

JEL classification: F30, G12, G15.