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Abrantes-Metz, RM, Kraten, M, Metz, AD and Seow, G (2012)

Libor Manipulation?

Journal of Banking & Finance 36(1), pp. 136-150.

ISSN/ISBN: 0378-4266 DOI: 10.1016/j.jbankfin.2011.06.014



Abstract: On May 29, 2008 the Wall Street Journal published an article alleging that several global banks were reporting Libor quotes significantly lower than those implied by prevailing credit default swap (CDS) spreads. While acknowledging that the “analysis doesn’t prove that banks are lying or manipulating Libor,” it nevertheless conjectures that these banks may “have been low-balling their borrowing rates to avoid looking desperate for cash.” In this paper we compare Libor with other short-term borrowing rates, analyze individual bank quotes, and compare these individual quotes to CDS spreads and market capitalization data during three periods: 1/1/07–8/8/07 (Period 1), 8/9/07–4/16/08 (Period 2), and 4/17/08–5/30/08 (Period 3). We find some anomalous individual quotes, but the evidence is inconsistent with a material manipulation of the US dollar 1-month Libor rate.


Bibtex:
@Article {, AUTHOR = {Abrantes-Metz, Rosa M. and Kraten, Michael and Seow, Gill }, TITLE = {Libor manipulation?}, JOURNAL = {Journal of Banking & Finance }, YEAR = {2012}, VOLUME = {36}, NUMBER = {1}, PAGES = {136--150}, ISSN = {0378-4266}, DOI = {10.1016/j.jbankfin.2011.06.014}, URL = {http://www.sciencedirect.com/science/article/pii/S0378426611002032}, }


Reference Type: Journal Article

Subject Area(s): Accounting, Economics, General Interest