The effect of underreporting on LIBOR rates

Andrea Monticini, Daniel L. Thornton

Risultato della ricerca: Contributo in rivistaArticolo in rivistapeer review

20 Citazioni (Scopus)

Abstract

On May 29, 2008, the Wall Street Journal reported that several large international banks were reporting unjustifiably low LIBOR rates. Since then two large banks, Barclays and UBS, have paid significant fines for manipulating their LIBOR rates, and additional banks are expected to be fined. This paper investigates whether the underreporting of LIBOR rates by some banks significantly affected the reported LIBOR rate by testing whether there was a significant change in the relationship between the LIBOR rate and another rate that reflects the default risk of banks.
Lingua originaleEnglish
pagine (da-a)345-348
Numero di pagine4
RivistaJournal of Macroeconomics
Volume37
DOI
Stato di pubblicazionePubblicato - 2013

Keywords

  • Libor rate

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