The Reform of Money Market Benchmarks Worldwide : Construction of a Forward Rate Model for the Moroccan Interbank Market

This research aims to study the viability of a reformed interbank rate for the Moroccan money market within the framework of the global transition of reference indices. Through the analysis of 351 days of quotation, we were able to obtain a rather encouraging result with the selected methodology with controlled fluctuations that make the compound rate not very volatile compared to other rates. The results can be taken as reference values for forward maturities. However, it is worth mentioning that the compounding approach does have some obstacles to overcome. This method is the most popular among market participants because it is easy to understand in terms of theoretical underpinnings and transparency. The major limitation of the proposed model is the lack of forecasting in the modelling. The approach is based on the previous day's data, with a view to the past, which makes the transition harder given the future-oriented nature of IBOR rates. This research work is intended to serve as an opening for a future improvement of the proposals raised in the body of this work