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Libor manipulation?

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Author Info

  • Abrantes-Metz, Rosa M.
  • Kraten, Michael
  • Metz, Albert D.
  • Seow, Gim S.
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    Abstract

    On May 29, 2008 the Wall Street Journal published an article alleging that several global banks were reporting Libor quotes significantly lower than those implied by prevailing credit default swap (CDS) spreads. While acknowledging that the “analysis doesn’t prove that banks are lying or manipulating Libor,” it nevertheless conjectures that these banks may “have been low-balling their borrowing rates to avoid looking desperate for cash.”

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    File URL: http://www.sciencedirect.com/science/article/pii/S0378426611002032
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 36 (2012)
    Issue (Month): 1 ()
    Pages: 136-150

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    Handle: RePEc:eee:jbfina:v:36:y:2012:i:1:p:136-150

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    Web page: http://www.elsevier.com/locate/jbf

    Related research

    Keywords: Libor; Manipulations; Conspiracies; Collusion; Price-fixing; Bid-rigging; Credit default swap spreads;

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    References

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    1. Ahn, Sungyoon & Choi, Wooseok, 2009. "The role of bank monitoring in corporate governance: Evidence from borrowers' earnings management behavior," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 425-434, February.
    2. Christian Ewerhart & Nuno Cassola & Steen EJjerksov & Natacha Valla, . "Manipulation in Money Markets," Swiss Finance Institute Research Paper Series 06-29, Swiss Finance Institute.
    3. Gorton, Gary, 1996. "Reputation Formation in Early Bank Note Markets," Journal of Political Economy, University of Chicago Press, vol. 104(2), pages 346-97, April.
    4. John K. Ashton & Robert Hudson, 2006. "Interest Rate Clustering in UK Financial Services Markets," Working Papers 06-14, Centre for Competition Policy, University of East Anglia.
    5. Patrick Bajari & Lixin Ye, 2003. "Deciding Between Competition and Collusion," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 971-989, November.
    6. Abrantes-Metz, Rosa & Villas-Boas, Sofia B. & Judge, George G., 2010. "Tracking the Libor rate," CUDARE Working Paper Series 1108R, University of California at Berkeley, Department of Agricultural and Resource Economics and Policy, revised Jul 2010.
    7. Craig Pirrong, 2004. "Detecting Manipulation in Futures Markets: The Ferruzzi Soybean Episode," American Law and Economics Review, Oxford University Press, vol. 6(1), pages 28-71.
    8. Abrantes-Metz, Rosa M. & Froeb, Luke M. & Geweke, John & Taylor, Christopher T., 2006. "A variance screen for collusion," International Journal of Industrial Organization, Elsevier, vol. 24(3), pages 467-486, May.
    9. Robert H. Porter & J. Douglas Zona, 1997. "Ohio School Milk Markets: An Analysis of Bidding," NBER Working Papers 6037, National Bureau of Economic Research, Inc.
    10. Miles Livingston & Robert E. Miller, 2000. "Investment Bank Reputation and the Underwriting of Nonconvertible Debt," Financial Management, Financial Management Association, vol. 29(2), Summer.
    11. George Judge & Laura Schechter, 2009. "Detecting Problems in Survey Data Using Benford’s Law," Journal of Human Resources, University of Wisconsin Press, vol. 44(1).
    12. Jacob Gyntelberg & Philip Wooldridge, 2008. "Interbank rate fixings during the recent turmoil," BIS Quarterly Review, Bank for International Settlements, March.
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    Citations

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    Cited by:
    1. Juan Luis Jiménez & Jordi Perdiguero, 2011. "Does Rigidity of Prices Hide Collusion?," IREA Working Papers 201120, University of Barcelona, Research Institute of Applied Economics, revised Oct 2011.
    2. Fukuda, Shin-ichi, 2012. "Market-specific and currency-specific risk during the global financial crisis: Evidence from the interbank markets in Tokyo and London," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3185-3196.
    3. Christoph Diehl, 2013. "The LIBOR mechanism and related games," Working Papers 482, Bielefeld University, Center for Mathematical Economics.
    4. Andrea Monticini & Daniel L. Thornton, 2013. "The effect of underreporting on LIBOR rates," Working Papers 2013-008, Federal Reserve Bank of St. Louis.
    5. Arnold, Marc & Schuette, Dustin & Wagner, Alexander, . "Pay Attention or Pay Extra: Evidence on the Compensation of Investors for the Implicit Credit Risk of Structured Products," Working Papers on Finance 1406, University of St. Gallen, School of Finance.
    6. Muto, Ichiro, 2012. "A Simple Interest Rate Model with Unobserved Components: The Role of the Interbank Reference Rate," MPRA Paper 43220, University Library of Munich, Germany.
    7. John Ashton & Andros Gregoriou & Jerome V. Healy, 2013. "The relative influence of price and choice factors on retail deposit quantities," Working Papers 13006, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).

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