TY - JOUR
T1 - The effect of underreporting on LIBOR rates
AU - Monticini, Andrea
AU - Thornton, Dl
PY - 2013
Y1 - 2013
N2 - 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.
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
KW - Libor rate
UR - https://publicatt.unicatt.it/handle/10807/43024
UR - https://www.scopus.com/inward/citedby.uri?partnerID=HzOxMe3b&scp=84880937913&origin=inward
UR - https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84880937913&origin=inward
U2 - 10.1016/j.jmacro.2013.02.002
DO - 10.1016/j.jmacro.2013.02.002
M3 - Article
SN - 0164-0704
VL - 37
SP - 345
EP - 348
JO - Journal of Macroeconomics
JF - Journal of Macroeconomics
IS - September
ER -