The effect of underreporting on LIBOR rates

Andrea Monticini; Daniel L. Thornton

doi:10.1016/j.jmacro.2013.02.002

The effect of underreporting on LIBOR rates

Andrea Monticini, Daniel L. Thornton

Risultato della ricerca: Contributo in rivista › Articolo in rivista › peer 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 originale	English
pagine (da-a)	345-348
Numero di pagine	4
Rivista	Journal of Macroeconomics
Volume	37
DOI	https://doi.org/10.1016/j.jmacro.2013.02.002
Stato di pubblicazione	Pubblicato - 2013

Keywords

Libor rate

Accesso al documento

10.1016/j.jmacro.2013.02.002

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AB - 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.

KW - Libor rate

UR - http://hdl.handle.net/10807/43024

UR - http://www.sciencedirect.com/science/article/pii/s0164070413000529

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DO - 10.1016/j.jmacro.2013.02.002

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JO - Journal of Macroeconomics

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