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The effect of underreporting on LIBOR rates

Andrea Monticini and Daniel Thornton ()

Journal of Macroeconomics, 2013, vol. 37, issue C, 345-348

Abstract: 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.

Keywords: LIBOR rate; Default risk; Structural breaks (search for similar items in EconPapers)
JEL-codes: G10 E43 E44 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmacro:v:37:y:2013:i:c:p:345-348

DOI: 10.1016/j.jmacro.2013.02.002

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