A simple model of interbank trading with tiered remuneration

Toshifumi Nakamura

Papers from arXiv.org

Abstract: A negative interest rate policy is often accompanied by tiered remuneration, which allows for exemption from negative rates. This study proposes a basic model of interest rates formed in the interbank market with a tiering system. The results predicted by the model largely mirror actual market developments in late 2019, when the European Central Bank introduced, and the Switzerland National Bank modified, the tiering system.

Date: 2020-06
New Economics Papers: this item is included in nep-mon
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