Tracking the Libor rate
Sofia Villas-Boas () and
Applied Economics Letters, 2011, vol. 18, issue 10, pages 893-899
With an eye to providing a methodology for tracking the dynamic integrity of prices for important market indicators, in this article we use Benford second digit (SD) reference distribution to track the daily London Interbank Offered Rate (Libor) over the period 2005 to 2008. This reference, known as Benford's law, is present in many naturally occurring numerical data sets as well as in several financial data sets. We find that in two recent periods, Libor rates depart significantly from the expected Benford reference distribution. This raises potential concerns relative to the unbiased nature of the signals coming from the 16 banks from which the Libor is computed and the usefulness of the Libor as a major economic indicator.
References: Add references at CitEc
Citations View citations in EconPapers (17) Track citations by RSS feed
Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.
Working Paper: Tracking the Libor Rate (2013)
Working Paper: Tracking the Libor Rate (2011)
Working Paper: Tracking the Libor rate (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:taf:apeclt:v:18:y:2011:i:10:p:893-899
Ordering information: This journal article can be ordered from
Access Statistics for this article
Applied Economics Letters is currently edited by Anita Phillips
More articles in Applied Economics Letters from Taylor & Francis Journals
Series data maintained by Michael McNulty ().