Reasons for the LIBOR review and its effects on international interbank reference rate quotations
AbstractIn 2012, news related the manipulation of LIBOR directed the attention of authorities and the general public to interbank reference rates. International reviews made it clear that a reform of LIBOR and the numerous reference rates that follow the methodology of LIBOR is necessary, because changes in reference rates influence the payment terms of thousands of billions in loans and other financial agreements. Rapid and at the same time radical changes cannot be expected in the short run, because preparation of the changes poses a regulatory challenge that requires complex, international cooperation. In order to restore confidence, as of 2013 the British authorities intend to strengthen LIBOR by the introduction of a statutory regulation, and they are also planning to designate a new, independent administrator and to drastically cut the number of quotes. Overall, our study confirms the findings of earlier analyses prepared by the Magyar Nemzeti Bank, according to which BUBOR shows the real market conditions as an average of longer periods, but at present its ability to provide a short-term forecast of interest rate steps is limited.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Magyar Nemzeti Bank (the central bank of Hungary) in its journal MNB Bulletin.
Volume (Year): 8 (2013)
Issue (Month): 1 (January)
libor; manipulation; interbank reference rate; irs; bubor; tibor; euribor; wheatley; interest rate expectations;
Find related papers by JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- F30 - International Economics - - International Finance - - - General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jacob Gyntelberg & Philip Wooldridge, 2008. "Interbank rate fixings during the recent turmoil," BIS Quarterly Review, Bank for International Settlements, March.
- Szilárd Erhart & András Kollarik, 2011. "The launch of HUFONIA and the related international experience of overnight indexed swap (OIS) markets," MNB Bulletin, Magyar Nemzeti Bank (the central bank of Hungary), vol. 6(1), pages 20-29, April.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Maja Bajcsy).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.