Quotation Eisl, Alexander, Jankowitsch, Rainer, Subrahmanyam, Marti G. 2017. The Manipulation Potential of Libor and Euribor. European Financial Management 23 (4), 604-647.


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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 analyze 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.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal European Financial Management
Citation Index SSCI
WU Journalrating 2009 A
WU-Journal-Rating new FIN-A, STRAT-B, VW-C, WH-B
Language English
Title The Manipulation Potential of Libor and Euribor
Volume 23
Number 4
Year 2017
Page from 604
Page to 647
Reviewed? Y
DOI http://dx.doi.org/10.1111/eufm.12126
JEL G01, G14, G18

Associations

Projects
Manipulation Incentives in Interest Rate Fixings: An Analysis of Libor and Euribor
People
Eisl, Alexander (Details)
Jankowitsch, Rainer (Details)
External
Subrahmanyam, Marti G. (New York University, Stern School of Business, United States/USA)
Organization
Institute for Finance, Banking and Insurance IN (Details)
Research areas (Ă–STAT Classification 'Statistik Austria')
5300 Economics (Details)
5323 Econometrics (Details)
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