Eisl, Alexander, Jankowitsch, Rainer, Subrahmanyam, Marti G. 2017. The Manipulation Potential of Libor and Euribor. European Financial Management 23 (4), 604-647.
BibTeX
Abstract
The London Interbank Offered Rate (Libor) and the Euro Interbank Offered Rate (Euribor) are two key benchmark interest rates used in a plethora of financial contracts. The integrity of the rate-setting processes has been under intense scrutiny since 2007. We analyze Libor and Euribor submissions by the individual banks and shed light on the underlying manipulation potential for the actual and several alternative rate-setting procedures. We find that such alternative fixings could significantly reduce the effect of manipulation. We also explore related issues such as the sample size and the particular questions asked of the banks in the rate-setting process.
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Status of publication | Published |
---|---|
Affiliation | WU |
Type of publication | Journal article |
Journal | European Financial Management |
Citation Index | SSCI |
WU Journalrating 2009 | A |
WU-Journal-Rating new | FIN-A, STRAT-B, VW-C, WH-B |
Language | English |
Title | The Manipulation Potential of Libor and Euribor |
Volume | 23 |
Number | 4 |
Year | 2017 |
Page from | 604 |
Page to | 647 |
Reviewed? | Y |
DOI | http://dx.doi.org/10.1111/eufm.12126 |
JEL | G01, G14, G18 |
Associations
- Projects
- Manipulation Incentives in Interest Rate Fixings: An Analysis of Libor and Euribor
- People
- Eisl, Alexander (Details)
- Jankowitsch, Rainer (Details)
- External
- Subrahmanyam, Marti G. (New York University, Stern School of Business, United States/USA)
- Organization
- Institute for Finance, Banking and Insurance IN (Details)
- Research areas (Ă–STAT Classification 'Statistik Austria')
- 5300 Economics (Details)
- 5323 Econometrics (Details)