| 报价操纵与LIBOＲ 计算方法研究 |
| LIBOＲ fixing manipulation and LIBOＲ calculation |
| 摘要点击 11539 全文点击 749 |
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| 中文关键词 市场操纵; LIBOＲ 形成机制; 基准利率; LIBOＲ 操纵案; 截尾均值法 |
| 英文关键词 market manipulation; LIBOＲ fixing mechanism; reference rates; LIBOＲ scandal; trimmed mean
method |
| 基金项目 国家自然科学基金资助项目( 71271136) ; 上海市IV 类高峰学科建设单位经费资助项目 |
| 学科分类代码 |
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| 中文摘要 |
| 作为全球重要的货币市场基准利率,伦敦银行间同业拆借利率(LIBOR)的可靠性至关重要.然而2012年爆发的LIBOR操纵案暴露出LIBOR形成机制的重大缺陷.因此着重研究LIBOR形成机制中计算方法的问题,通过包含价格操纵行为的LIBOR形成模型,比较不同计算方法对操纵行为的影响,以期对IBOR类利率,尤其是我国的Shibor的形成机制提供理论参考.主要结论为:从降低操纵程度的角度,剔除最大与最小报价后取平均值的截尾均值法并不总优于直接取平均值的均值法,计算方法的优劣由市场环境所决定;对于截尾均值法,增加报价行的家数并不总能降低操纵行为. |
| 英文摘要 |
| Being an important global reference rate of the money market，the reliability of LIBOＲ is vital．
Nevertheless，the shortcomings of LIBOＲ fixing mechanism came under the spotlight during the LIBOＲ scandal
in 2012． This paper focuses on the calculation of LIBOＲ fixing mechanism and compares the differences in
the effects of mitigating manipulation under different LIBOＲ calculation methods by a model of LIBOＲ fixing
with manipulation behavior． The results provide a theoretical basis for the fixing mechanism of IBOＲ-class
rates，especially for Shibor． The main results are: From the perspective of mitigating total manipulation，
trimmed mean method is not necessarily better than average mean method; the superiority of calculation methods
depends on the market environment; for trimmed mean method，increasing the number of panel banks does
not always decrease manipulation． |
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