LIBOR Manipulation?

Abrantes-Metz, Rosa M.; Kraten, Michael; Metz, Albert; Seow, Gim S.

doi:10.2139/ssrn.1201389

Cited by 25 publications

(25 citation statements)

References 21 publications

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“…They found mixed outcomes: the variance of prices during the lysine conspiracy was lower while the variance of prices during the citric acid conspiracy was higher than during more competitive periods. Abrantes-Metz et al (2008), using the filter of variance to analyze whether the LIBOR (an indicator used by banks to determine the profitability of venture capital) was being manipulated by collusive agreements, as reported the Wall Street Journal . Although the variance was very low fees and the vast majority of banks were identical, the authors believe that compared to the benchmark can not be correct to say that the LIBOR is manipulated.…”

Section: Rigidity On Prices: Theoretical An Empirical Literaturementioning

confidence: 99%

Does Rigidity of Prices Hide Collusion?

Jiménez

Perdiguero

2012

Rev Ind Organ

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Cartel detection is a major, but more complicated tasks of the Competition Agencies. In recent years variance filters have been developed as a simple tool and they require a low volume of data. However, it has not been applied intensively by those Agencies, primarily for two reasons: there is no unanimity on the behavior of prices under collsuion and the interpretation of the results of the variance filter is often inconclusive. This paper shows evidence on these two constraints, by applying a variance filter on a fuel retail market with special features. The results confirm the positive relationship between monopoly and price rigidity, as well as the detection of non-competitive behavior in the market when compared to appropriate benchmarks. These empirical results can help to disseminate and implement this methodology by the Competition Authorities.

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Section: Rigidity On Prices: Theoretical An Empirical Literaturementioning

confidence: 99%

Does Rigidity of Prices Hide Collusion?

Jiménez

Perdiguero

2012

Rev Ind Organ

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“…The results on an agglomerative hierarchical clustering analysis reveal that certain banks grouped in cartels manipulated LIBOR rates. Abrantes-Metz et al (2012) use screening techniques to identify anticompetitive behaviour among the participating banks, and analyse individual quotes versus CDS rates. In spite of the fact that quotes display unusual patterns, the authors find that Libor rates were not manipulated during the period 2007-2008. Both academia and industry recognize that the LIBOR manipulation is an issue, however due to the fact that there are no specific details about the extent of the manipulation, or how long it was going on, one cannot control for it or test to reveal whether it impacts on the magnitude of the financial crisis of 2007-08.…”

Section: The Libor Manipulation and Its Likely Effect On The Magnitudmentioning

confidence: 99%

Liquidity risk contagion in the interbank market

Eross

Urquhart

Wolfe

2016

Journal of International Financial Markets, Institutions and Mo

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This paper studies liquidity risk contagion within the interbank market by assessing the long-run relationship of short-term interest rate spreads from January 2002 to December 2015. In particular, we model the interaction between the LIBOR-OIS spread, euro fixed-float OIS swap rate and the threemonth US-German bond spread and discover strong evidence of structural innovations affecting the interbank market. We find that when the short-term interbank market is affected by a liquidity shock, the LIBOR-OIS spread is a leader in moving back to equilibrium, while the euro-dollar currency swap rate and the US-German bond spreads are followers. Moreover, we find long-run cointegrating relationships and bi-directional causality between the spreads. However, structural breaks identified as prospective financial crises affect the long-run relationships and liquidity shocks drive interbank rates and spread fluctuations. Therefore, liquidity shocks propagating within the interbank market can forecast benchmark interest movements, and ultimately this has significant implications for policy-makers and market players alike.

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“…The model predicts, in the presence of this type of misreporting incentive, a particular form of "bunching" in the intraday 1 Partially overlapping panels, administered by the Brittish Bankers' Association, determine rates in 10 di¤erent currencies and maturities ranging from overnight to twelve months. 2 An earlier version of this paper, that predates these investigations and contains additional analysis, is available on the authors'webpage under the title "Does the Libor Re ‡ect Bank Borrowing Costs?"?? 3 In February 2012 it was announced that UBS had admitted to manipulating the Yen Libor, while Barclays has admitted to manipulating the Dollar Libor.…”

Section: Introductionmentioning

confidence: 99%

The Fix Is in: Detecting Portfolio Driven Manipulation of the Libor

Snider

Youle

2012

SSRN Journal

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The London Interbank O¤ered Rate (Libor) is a set of vital benchmark interest rates to which hundreds of trillions of dollars of …nancial contracts are tied. The rates are set each day via a survey of large banks. In recent years, strange behavior of the rates have caused observers to question its proper function and some to suggest overt manipulation as the cause. Subsequent regulatory investigations have culminated in admissions of manipulation by at least three Libor panel banks. In this paper we develop tests for manipulation based on a model of bank submissions to the survey. Our results suggest manipulation was widespread and may have persisted into the more recent past, somewhat at odds with the picture painted by publicly available sources.

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LIBOR Manipulation?

Cited by 25 publications

References 21 publications

Does Rigidity of Prices Hide Collusion?

Does Rigidity of Prices Hide Collusion?

Liquidity risk contagion in the interbank market

The Fix Is in: Detecting Portfolio Driven Manipulation of the Libor

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