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A sampling-window approach to transactions-based Libor fixing

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Abstract

We examine the properties of a method for fixing Libor rates that is based on transactions data and multi-day sampling windows. The use of a sampling window may mitigate problems caused by thin transaction volumes in unsecured wholesale term funding markets. Using two partial data sets of loan transactions, we estimate how the use of different sampling windows could affect the statistical properties of Libor fixings at various maturities. Our methodology, which is based on a multiplicative estimate of sampling noise that avoids the need for interest rate data, uses only the timing and sizes of transactions. Limitations of this sampling-window approach are also discussed.

Suggested Citation

  • Darrell Duffie & David R. Skeie & James Vickery, 2013. "A sampling-window approach to transactions-based Libor fixing," Staff Reports 596, Federal Reserve Bank of New York.
    • Handle: RePEc:fip:fednsr:596
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    Cited by:

    1. Serdar Neslihanoglu & Stelios Bekiros & John McColl & Duncan Lee, 2021. "Multivariate time-varying parameter modelling for stock markets," Empirical Economics, Springer, vol. 61(2), pages 947-972, August.
    2. Yoldas, Emre & Senyuz, Zeynep, 2018. "Financial stress and equilibrium dynamics in term interbank funding markets," Journal of Financial Stability, Elsevier, vol. 34(C), pages 136-149.
    3. Kirti, Divya, 2022. "What are reference rates for?," Journal of Banking & Finance, Elsevier, vol. 144(C).
    4. David Hou Author-Name: David Skeie, 2013. "LIBOR: origins, economics, crisis, scandal and reform," The New Palgrave Dictionary of Economics,, Palgrave Macmillan.
    5. Li, Ming & Sun, Hang & Zong, Jichuan, 2021. "Intertemporal imitation behavior of interbank offered rate submissions," Journal of Banking & Finance, Elsevier, vol. 132(C).
    6. Dennis Kuo & David R. Skeie & James Vickery & Thomas Youle, 2013. "Identifying term interbank loans from Fedwire payments data," Staff Reports 603, Federal Reserve Bank of New York.
    7. Darrell Duffie & Jeremy C. Stein, 2015. "Reforming LIBOR and Other Financial Market Benchmarks," Journal of Economic Perspectives, American Economic Association, vol. 29(2), pages 191-212, Spring.
    8. Bachmair, K., 2023. "The Effects of the LIBOR Scandal on Volatility and Liquidity in LIBOR Futures Markets," Cambridge Working Papers in Economics 2303, Faculty of Economics, University of Cambridge.

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