Behavioural Aspects of Benchmark Quotation – the WIBOR Case

• Authors: Piotr Mielus

Title variants

Behawioralne aspekty kwotowania stawek referencyjnych - przypadek stopy WIBOR

• Languages of publication: EN

Abstracts

EN

In the post‑crisis environment, market indices are one of elements of the financial market which have to be reformed. The EU Regulation on indices used as benchmarks in financial instruments reflects a need for the reform of benchmark determination in order to make indices transparent, representative and resistant to manipulation. The reform changes the conduct of rate contributors (the so‑called panellists). The article analyses behavioural reactions of WIBOR panellists by indicating sources of the growth of inertia and the drop of dispersion of published benchmarks. Those reactions decrease the risk of banks and, at the same time, increase the divergence between an index and the actual cost of funds, which may threaten the stability of the financial market.

PL

W postkryzysowym środowisku jednym z elementów rynku finansowego, które wymagają sanacji, są indeksy rynkowe. Rozporządzenie UE w sprawie indeksów stosowanych jako wskaźniki w instrumentach finansowych wskazuje na potrzebę reformy sposobu wyznaczania indeksów w celu zapewnienia ich przejrzystości, reprezentatywności i odporności na manipulacje. Proces reformy wprowadza zmianę zachowania po stronie podmiotów kontrybuujących stawki (tzw. panelistów). Artykuł analizuje behawioralne reakcje po stronie panelistów indeksu WIBOR, wskazując na źródła wzrostu inercji i zmniejszenia dyspersji publikowanych stawek. Reakcje te zmniejszają ryzyko banków, zwiększając jednocześnie dywergencję między indeksem a rzeczywistym kosztem pieniądza, co może stanowić zagrożenie dla stabilności rynku finansowego.

Keywords

EN

money market; market indices; behavioural finances

PL

rynek pieniężny; indeksy rynkowe; finanse behawioralne; rynek pieniężny; indeksy rynkowe; finanse behawioralne

• Publisher: Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
• Journal: Acta Universitatis Lodziensis. Folia Oeconomica
• Year: 2018
• Volume: 3
• Issue: 335
• Pages: 189-205

Dates

published

2018-05-16

Contributors

author

Piotr Mielus

References

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Identifiers

DOI

10.18778/0208-6018.335.13