How to Measure the Economic Integrity of IBOR Panels? a Behavioural Approach

Financial Sciences, Vol. 24, No. 1, 2019, pp. 51-73

23 Pages Posted: 18 Apr 2019

See all articles by Piotr Mielus

Piotr Mielus

Warsaw School of Economics (SGH)

Date Written: 2019

Abstract

IBOR manipulation imposed new benchmark regulations that force the market to enter a path of a reform of existing financial indices and creation of the new ones. The paper describes an evolution of two IBOR panels: one representing a global financial benchmark: LIBOR and the other representing a local PLN benchmark: WIBOR. The paper provides a quantitative analysis of partial quotes of IBOR panellists and suggests that economic integrity measures should be introduced for IBOR panels. The aim of the research is to define a set of tools that provide information regarding efficiency of a process of production of interest rate benchmark. The research is supplemented with a behavioural analysis of banks’ decision-making process that interferes the contribution of IBOR data. The integrity measures can help market users and financial authorities in evaluating the quality of current and past panels and identifying behavioural factors having an impact on partial quotes of contributing banks.

Keywords: financial benchmarks, money market, behavioural finance

JEL Classification: G01, G14, G15

Suggested Citation

Mielus, Piotr, How to Measure the Economic Integrity of IBOR Panels? a Behavioural Approach (2019). Financial Sciences, Vol. 24, No. 1, 2019, pp. 51-73. Available at SSRN: https://ssrn.com/abstract=3357390

Piotr Mielus (Contact Author)

Warsaw School of Economics (SGH) ( email )

aleja Niepodleglosci 162
PL-Warsaw, 02-554
Poland

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