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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. 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.
    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, 2001. "Deciding Between Competition and Collusion," Working Papers 01008, Stanford University, Department of Economics.
    6. Rosa Abrantes-Metz & Sofia Villas-Boas & George Judge, 2011. "Tracking the Libor rate," Applied Economics Letters, Taylor & Francis Journals, vol. 18(10), pages 893-899.
    7. Robert H. Porter & J. Douglas Zona, 1999. "Ohio School Milk Markets: An Analysis of Bidding," RAND Journal of Economics, The RAND Corporation, vol. 30(2), pages 263-288, Summer.
    8. Jacob Gyntelberg & Philip Wooldridge, 2008. "Interbank rate fixings during the recent turmoil," BIS Quarterly Review, Bank for International Settlements, March.
    9. Miles Livingston & Robert E. Miller, 2000. "Investment Bank Reputation and the Underwriting of Nonconvertible Debt," Financial Management, Financial Management Association, vol. 29(2), Summer.
    10. 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.
    11. 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.
    12. 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).
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    Citations

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    Cited by:
    1. Christoph Diehl, 2013. "The LIBOR mechanism and related games," Working Papers 482, Bielefeld University, Center for Mathematical Economics.
    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. Andrea Monticini & Daniel L. Thornton, 2013. "The effect of underreporting on LIBOR rates," Working Papers 2013-008, Federal Reserve Bank of St. Louis.
    4. 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.
    5. 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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