Cheap Talk and Strategic Rounding in LIBOR Submissions
将银行间利率报价视为廉价谈话博弈，发现正常市场下银行会如实披露成本，但金融压力下只存在粗略均衡，且银行风险越高、短期利率越易出现四舍五入。
Abstract Interbanking rates were, until recently, based on judgmental estimates of borrowing costs. We interpret this as a cheap-talk game that allowed banks to communicate nonverifiable information about their opportunity cost to potential counterparties. Under normal market conditions there is a welfare maximizing equilibrium where banks truthfully disclose their borrowing cost, but, in times of financial stress, only “coarse” equilibria survive. We take this prediction to the data and show that banks round more frequently if the risk of the bank increases. Rounding is also more frequent for the more liquid short-term rates and certain benchmark maturities. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.