Libor虚报操纵的重复博弈分析及政策建议

摘要

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.%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。