The Reform of Money Market Benchmarks Worldwide: Construction of a Forward Rate Model for the Moroccan Interbank Market

Abstract

The purpose of this research is to determine the practicality of a prospective reform of the Moroccan money market's interbank rate within the context of the worldwide shift of reference indices. By analyzing 351 days of quotations, we were able to acquire an optimistic result using the chosen approach, which includes regulated variations that keep the compound rate relatively stable in comparison to other rates. The findings can be used as a benchmark for future maturities. It is worth noting, however, that the compounding strategy does have certain drawbacks. This is the most often used strategy among market participants due to its simplicity in terms of theoretical foundations and openness. The primary shortcoming of the suggested model is its lack of predicting. The methodology is based on previous day's data, with an eye toward the past, which complicates the changeover given IBOR rates' future-oriented methodology. This research project is designed to act as a starting point for future revisions to the ideas made in the body of this research.