Benchmarking benchmarks

• 成果类型: Article
• 署名作者: Brugler, James; Khomyn, Marta; Putnins, Talis
• 署名单位: University of Melbourne; University of Adelaide; University of Technology Sydney
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.104018
• 发表日期: 2025
• 关键词: Benchmark prices; Information shares; Price discovery

摘要

Financial benchmarks such as LIBOR underpin the pricing of trillions of dollars of contracts around the world. We evaluate the quality of benchmark prices using a state-space model to separate information from noise. Applying the method to LIBOR benchmarks and their replacements, we find that alternative reference rates (ARRs) are less noisy in four of the five currencies. However, the USD ARR is considerably more noisy, resulting in billions of dollars of noise-related wealth transfers between contract counterparties. We show that benchmark reforms such as expanding the reference market and using a trimmed mean can reduce noise in ARRs.