Simple model of interbank trade with tiering remuneration
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摘要
This paper develops a simple static model of an interbank market under tiered remuneration, showing that the market overnight rate is determined by the ratio of unused exemption (B) to excess reserves above the exemption (A) and that trading volume is maximized when the exemption threshold is set around the midpoint of the two remuneration rates; the model is tested against Denmark, Japan and Switzerland and provides a reasonable fit to observed rates and volumes [page::4][page::6][page::15].
