全球货币市场基准改革:摩洛哥银行间市场远期利率模型的构建

Youssef Louraoui
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引用次数: 0

摘要

本研究的目的是确定摩洛哥货币市场的银行间利率的前瞻性改革的实用性在全球范围内的参考指数转移的背景下。通过分析351天的报价,我们能够使用所选择的方法获得乐观的结果,其中包括与其他费率相比保持复合费率相对稳定的监管变化。研究结果可以作为未来期限的基准。然而,值得注意的是,复合策略确实有一定的缺点。这是市场参与者最常用的策略,因为它在理论基础上简单,并且具有开放性。该模型的主要缺点是缺乏预测能力。这种方法是基于前一天的数据,并着眼于过去,鉴于IBOR利率面向未来的方法,这使得转换变得复杂。这个研究项目的目的是作为一个起点,为未来修订的想法,在这个研究的主体。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The Reform of Money Market Benchmarks Worldwide: Construction of a Forward Rate Model for the Moroccan Interbank Market
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.
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