Applied Economics Letters 18(10), pp. 893-899.
ISSN/ISBN: 1466-4291 DOI: 10.1080/13504851.2010.515197
Abstract: With an eye to providing a methodology for tracking the dynamic integrity of prices for important market indicators, in this article we use Benford second digit (SD) reference distribution to track the daily London Interbank Offered Rate (Libor) over the period 2005 to 2008. This reference, known as Benford's law, is present in many naturally occurring numerical data sets as well as in several financial data sets. We find that in two recent periods, Libor rates depart significantly from the expected Benford reference distribution. This raises potential concerns relative to the unbiased nature of the signals coming from the 16 banks from which the Libor is computed and the usefulness of the Libor as a major economic indicator.
Bibtex:
@Article {,
AUTHOR = {Abrantes-Metz, Rosa M. and Villas-Boas, Sofia B. and Judge, George},
TITLE = {Tracking the Libor rate},
JOURNAL = {Applied Economics Letters},
FJOURNAL = {},
YEAR = {2011},
VOLUME = {18},
NUMBER = {10},
PAGES = {893--899},
MONTH = {January},
ISSN = {1466-4291},
DOI = {10.1080/13504851.2010.515197},
URL = {http://www.tandfonline.com/doi/abs/10.1080/13504851.2010.515197},
}
Reference Type: Journal Article
Subject Area(s): Economics