What’s ahead for euro money market benchmarks?

Daniela Della Gatta ()
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Daniela Della Gatta: Banca d'Italia

No 17, Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems) from Bank of Italy, Directorate General for Markets and Payment System

Abstract: This paper illustrates the state of play of the interest rate benchmark reform process. Overnight rates that can be considered risk-free, such as the €STR in the euro area, have been introduced in the main currency areas. The production of rates with a maturity of more than one day, which can replace traditional benchmarks, will depend on the availability of money market data and the different indexing needs. It is reasonable to expect that several types of benchmarks will coexist in the future; this could also entail a risk of market liquidity fragmentation.

Keywords: riforma dei tassi benchmark; tassi privi di rischio; tassi a scadenza; clausole di riserva (search for similar items in EconPapers)
JEL-codes: D47 E43 G21 G23 (search for similar items in EconPapers)
Date: 2022-02
New Economics Papers: this item is included in nep-ban, nep-mac and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:wpmisp:mip_017_22

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