摘要：Interest rate derivatives are among the most actively traded financial
instruments in the main currency areas. With values of positions reacting
immediately to the underlying index of daily interbank rates, manipulation has
become an increasing challenge for the operational implementation of monetary
policy. To address this issue, we study a microstructure model in which a
commercial bank may have strategic recourse to central bank standing facilities.
We characterize an equilibrium in which market rates will be manipulated with
strictly positive probability. Our findings have an immediate bearing on recent
developments in the sterling and euro money markets.
