LIBOR: Origins, Economics, Crisis, Scandal and Reform

Hou, David; Skeie, David R.

doi:10.1057/978-1-349-95189-5_2855

Cited by 3 publications

(2 citation statements)

References 13 publications

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“…In places where judiciaries are untrustworthy or are known to be corrupt, banks may have little power to enforce provisions of their loan contracts, regardless of whatever legal rights they may formally enjoy to do so (Weil, 2011). Furthermore, low confidence in regulatory authority and powers of oversight can encourage bank actors to collude to provide regulators and the public with false information, such as in the case of the recent Libor scandal in the UK (Hou and Skeie, 2014). The analytical challenge for a complex regulatory space analysis is to understand how contextual pressures like these relate to patterns of actor relationships and emergent systemic characteristics of the space as a whole.…”

Section: Legal Capacitymentioning

confidence: 99%

Complex regulatory space and banking

Leach¹

2018

Complexity Theory and Law

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Section: Legal Capacitymentioning

confidence: 99%

Complex regulatory space and banking

Leach¹

2018

Complexity Theory and Law

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“…LIBOR, a measure of the unsecured term borrowing costs between banks, has been widely used in lending transactions over the past forty years. At its peak, LIBOR was the reference rate for tens of millions of contracts totaling more than USD 300 trillion in notional amounts, ranging from complex derivatives to residential mortgages (Hou & Skeie, 2014). LIBOR was wired into many financial activities, including risk, valuation, performance modeling, and commercial contracting.…”

Section: Introductionmentioning

confidence: 99%

Across‐the‐Curve Credit Spread Indices

2023

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We design a novel across‐the‐curve credit spread index, AXI, a measure of the recent cost of wholesale unsecured debt funding for publicly listed US bank holding companies and commercial banks. AXI, a benchmark for bank lending and risk management, is the weighted average of credit spreads for unsecured debt instruments with maturities ranging from overnight to five years, with weights that reflect both transaction and issuance volumes. We provide illustrative output of the bond‐based component of AXI. By widening coverage to include all corporate debt issuers, we also build a financial conditions index (FXI).

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Credit Risk, Liquidity and Lies

King

Lewis

2015

finanaceandeconomics

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We reexamine the relative effects of credit risk and liquidity in the interbank market using banklevel panel data on Libor submissions and CDS spreads. Our model synthesizes previous work by combining the fundamental determinants of interbank spreads with the effects of strategic misreporting by Libor-submitting firms. We find that interbank spreads were very sensitive to credit risk at the peak of the crisis. However, liquidity premia constitute the bulk of those spreads on average, and Federal Reserve interventions coincide with improvements in liquidity at short maturities. Accounting for misreporting, which is large at times, is important for obtaining these results.

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LIBOR: Origins, Economics, Crisis, Scandal and Reform

Cited by 3 publications

References 13 publications

Complex regulatory space and banking

Complex regulatory space and banking

Across‐the‐Curve Credit Spread Indices

Credit Risk, Liquidity and Lies

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