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Libor manipulation?

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

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    1. Jacob Gyntelberg & Philip Wooldridge, 2008. "Interbank rate fixings during the recent turmoil," BIS Quarterly Review, Bank for International Settlements, March.
    2. 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.
    3. Abrantes-Metz, Rosa & Villas-Boas, Sofia B. & Judge, George G., 2013. "Tracking the Libor Rate," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt2p33x7dk, Department of Agricultural & Resource Economics, UC Berkeley.
      • 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.
    4. Christian Ewerhart & Nuno Cassola & Steen EJjerksov & Natacha Valla, . "Manipulation in Money Markets," Swiss Finance Institute Research Paper Series 06-29, Swiss Finance Institute.
    5. 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.
    6. 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.
    7. 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.
    8. 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).
    9. 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.
    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. 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.
    12. 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.
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