Interbank lending with benchmark rates: Pareto optima for a class of singular control games
研究银行间借贷中基准利率的奇异控制博弈，描述帕累托最优并通过监管干预实现，比较帕累托最优与纳什均衡以分析监管对利率稳定的影响。
Abstract We analyze a class of stochastic differential games of singular control, motivated by the study of a dynamic model of interbank lending with benchmark rates. We describe Pareto optima for this game and show how they may be achieved through the intervention of a regulator, whose policy is a solution to a singular stochastic control problem. Pareto optima are characterized in terms of the solutions to a new class of Skorokhod problems with piecewise‐continuous free boundary. Pareto optimal policies are shown to correspond to the enforcement of endogenous bounds on interbank lending rates. Analytical comparison between Pareto optima and Nash equilibria provides insight into the impact of regulatory intervention on the stability of interbank rates.