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Analysis of Overnight ROBOR Interbank Interest Rate Recorded in October 2008 Using a Correlational Mathematical Model

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  • Ramona Mariana CALINICA

    (Dunarea de Jos University of Galati, Romania)

Abstract

Information about possible manipulation of the overnight Robor interbank interest rates appeared in the press in late June 2012 when the British bank Barclays was fined for manipulating Libor. Suspicion of manipulation of interest rates has not spared Romania.The purpose of this paper is to provide mathematical support persons or authorities concerned in finding out whether the overnight ROBOR reference rates from October 2008 were the result of an agreement between banks or is a natural reaction to the difficult conditions prevailing at that time, and why not, decision support to establish a intervention policies when deviations of the interbank money market parameters, in relation to a specific goal, above a certain value.

Suggested Citation

  • Ramona Mariana CALINICA, 2013. "Analysis of Overnight ROBOR Interbank Interest Rate Recorded in October 2008 Using a Correlational Mathematical Model," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 2, pages 53-58.
    • Handle: RePEc:ddj:fseeai:y:2013:i:2:p:53-58
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    More about this item

    Keywords

    ROBOR overnight; Mathematical modeling; Liquidity;
    All these keywords.

    JEL classification:

    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics

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