Libor manipulation?

被引：93

作者：

Abrantes-Metz, Rosa M. ^{[1
]}

Kraten, Michael ^{[2
]}

Metz, Albert D. ^{[3
]}

Seow, Gim S. ^{[4
]}

机构：

[1] NYU, Leonard N Stern Sch Business, AFE Consulting, New York, NY 10020 USA

[2] Providence Coll, Sch Business, Providence, RI 02918 USA

[3] Moodys Investors Serv, New York, NY 10007 USA

[4] Univ Connecticut, Sch Business, Storrs, CT 06269 USA

来源：

JOURNAL OF BANKING & FINANCE | 2012年 / 36卷 / 01期

关键词：

Libor; Manipulations; Conspiracies; Collusion; Price-fixing; Bid-rigging; Credit default swap spreads; REPUTATION;

D O I：

10.1016/j.jbankfin.2011.06.014

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：136 / 150

页数：15

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