This paper is an empirical investigation into the Norwegian Interbank Offered Rate (NIBOR) during 2007–11. It is demonstrated that an informal rule change to the benchmark fixing mechanism, instigated by the NIBOR panel banks, not only increased the susceptibility of the benchmark to deception, but also fundamentally changed the decomposition of the domestic money market risk premium. It resulted in a greater dependency on the Eurozone money markets and the ability of Eurozone banks to raise U.S. dollar funding. As a result, Norway faced both higher, and more volatile, money market risk premia since Q4 2008 – having considerable impact on forward guidance within monetary policy.
|Number of pages||21|
|Journal||Journal of International Financial Markets, Institutions and Money|
|Early online date||21 Jul 2014|
|Publication status||Published - 1 Sep 2014|
- Forward guidance
- Monetary policy