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- Title
The Manipulation Potential of Libor and Euribor.
- Authors
Eisl, Alexander; Jankowitsch, Rainer; Subrahmanyam, Marti G.
- Abstract
The London Interbank Offered Rate (Libor) and the Euro Interbank Offered Rate (Euribor) are two key benchmark interest rates used in a plethora of financial contracts. The integrity of the rate-setting processes has been under intense scrutiny since 2007. We analyse Libor and Euribor submissions by the individual banks and shed light on the underlying manipulation potential for the actual and several alternative rate-setting procedures. We find that such alternative fixings could significantly reduce the effect of manipulation. We also explore related issues such as the sample size and the particular questions asked of the banks in the rate-setting process.
- Subjects
EUROPEAN Union countries; UNITED Kingdom; MONEY market; LIBOR; INTEREST rates; BANKING industry; BRITISH banking industry; MARKET manipulation; COLLUSION
- Publication
European Financial Management, 2017, Vol 23, Issue 4, p604
- ISSN
1354-7798
- Publication type
Article
- DOI
10.1111/eufm.12126