Collusive Benchmark Rates Fixing

Tinbergen Institute Discussion Paper 2017-122/VII

68 Pages Posted: 15 Feb 2018 Last revised: 18 Apr 2019

See all articles by Nuria Boot

Nuria Boot

German Institute for Economic Research (DIW Berlin); KU Leuven

Timo Klein

Utrecht University; Oxera Consulting LLP

Maarten Pieter Schinkel

University of Amsterdam - Department of Economics; Tinbergen Institute

Multiple version iconThere are 3 versions of this paper

Date Written: April 1, 2019


Benchmark rates, such as Libor and Euribor, are proven vulnerable to manipulation. We analyze benchmark rate collusion, which is challenging due to varying and opposing trading interests of the subset of market participants that determine the rates. Our theory is based on two mechanisms. We define front running as information sharing that allows cartel members to optimally adjust their portfolios ahead of the market. To support the joint-profit maximizing rate, designated traders engage in costly manipulation of their submissions. We find that observed episodic recourse to independent quoting is part of a feasible continuous collusion equilibrium and that all panel members would want to participate in the scheme. Our model suggests that high rate volatility may be indicative of collusion. Further protocol reforms to broaden the class of transactions eligible for submission and to average over fewer middle quotes can unintentionally facilitate collusion.

Keywords: benchmark rate, Libor, Euribor, IRD, banking, cartel

JEL Classification: E43, G14, G21, K21, L41

Suggested Citation

Boot, Nuria and Boot, Nuria and Klein, Timo and Klein, Timo and Schinkel, Maarten Pieter, Collusive Benchmark Rates Fixing (April 1, 2019). Tinbergen Institute Discussion Paper 2017-122/VII, Available at SSRN: or

Nuria Boot (Contact Author)

German Institute for Economic Research (DIW Berlin) ( email )

Mohrenstraße 58
Berlin, 10117

KU Leuven ( email )

Oude Markt 13
Leuven, Vlaams-Brabant 3000

Timo Klein

Utrecht University ( email )

Vredenburg 138
Utrecht, 3511 BG

Oxera Consulting LLP ( email )

Alfred Street
Oxford OX1 4EH
United States

Maarten Pieter Schinkel

University of Amsterdam - Department of Economics ( email )

Roetersstraat 11
1018 WB Amsterdam
+31 20 525 7132 (Phone)
+31 20 525 5318 (Fax)

Tinbergen Institute ( email )

Gustav Mahlerplein 117
Amsterdam, 1082 MS

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