Libor虚报操纵的重复博弈分析及政策建议

Analysis on Libor's misrepresentations and relative policy recommendations under repeated game approach

为深入分析Libor被屡次虚报操纵的原因,引入重复博弈模型,在对价格形成机制中的关联行为进行合理简化、对各报价行不同策略选择下的得益与损失进行量化的基础上,分析了Libor的报价过程,找出使得如实报价的"惩罚"力度的临界值。并在分析该临界值的基础上结合操纵动因和各影响因子的测算难度,得出现有价格形成体系的制度性缺陷必然引发Libor被虚报的不诚信行为的结论。最后针对2014年即将推行的新体系提出相关政策建议。

To further analyze the reason of Libor＇ s frequent misrepresentations, for the first time in this paper a repeated game model on Libor＇ s bidding process is constructed, which find out the critical value of the punishment for dishonest quotations by means of reasonably simplifying the makers＇ complex relationship and quantizing their profit and loss under different strategy choices. And on the basis of the analysis of the threshold combining motivation for manipulation and the parameters＇ less optimistic availability, it is conclu- ded that the institutional defects in existing price forming system inevitably lead to Libor＇ s quite frequent bi- ding crimes. Finally, several policy recommendations for the upcoming new system are proposed.