Abstract

http://ssrn.com/abstract=2189015
 
 

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The Fix Is in: Detecting Portfolio Driven Manipulation of the Libor


Connan Andrew Snider


UCLA - Department of Economics

Thomas Youle


University of Minnesota - Twin Cities - Department of Economics

December 1, 2012


Abstract:     
The London Interbank Offered Rate (Libor) is a set of vital benchmark interest rates to which hundreds of trillions of dollars of financial contracts are tied. The rates are set each day via a survey of large banks. In recent years, strange behavior of the rates have caused observers to question its proper function and some to suggest overt manipulation as the cause. Subsequent regulatory investigations have culminated in admissions of manipulation by at least three Libor panel banks. In this paper we develop tests for manipulation based on a model of bank submissions to the survey. Our results suggest manipulation was widespread and may have persisted into the more recent past, somewhat at odds with the picture painted by publicly available sources.

Number of Pages in PDF File: 64

Keywords: Libor Manipulation, Detection of Corruption

JEL Classification: G2,G3, C14, L50, L13, L93

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Date posted: December 14, 2012  

Suggested Citation

Snider, Connan Andrew and Youle, Thomas, The Fix Is in: Detecting Portfolio Driven Manipulation of the Libor (December 1, 2012). Available at SSRN: http://ssrn.com/abstract=2189015 or http://dx.doi.org/10.2139/ssrn.2189015

Contact Information

Connan Andrew Snider (Contact Author)
UCLA - Department of Economics ( email )
Box 951477
Los Angeles, CA 90095-1477
United States
Thomas Youle
University of Minnesota - Twin Cities - Department of Economics ( email )
271 19th Avenue South
Minneapolis, MN 55455
United States
612-625-7837 (Phone)
HOME PAGE: http://www.econ.umn.edu/~youle001/
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References:  21
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