Can Euribor be fixed?
The manipulation of Euro Interbank Offered Rate (Euribor) is a problem with great impact on international financial markets. This paper focuses on two aspects of the Euribor benchmark rate for the period 2004–2018: the specific features that make the Index more vulnerable to manipulation and the pot...
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Taylor & Francis Group
2021
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oai:doaj.org-article:165032eaa9fa46b8aebf8ef77927a0ca2021-11-04T15:00:41ZCan Euribor be fixed?1331-677X1848-966410.1080/1331677X.2020.1844029https://doaj.org/article/165032eaa9fa46b8aebf8ef77927a0ca2021-01-01T00:00:00Zhttp://dx.doi.org/10.1080/1331677X.2020.1844029https://doaj.org/toc/1331-677Xhttps://doaj.org/toc/1848-9664The manipulation of Euro Interbank Offered Rate (Euribor) is a problem with great impact on international financial markets. This paper focuses on two aspects of the Euribor benchmark rate for the period 2004–2018: the specific features that make the Index more vulnerable to manipulation and the potential for Index manipulation over the studied period. To address the first aspect, we examine the range and the standard deviation of daily quotes, as well as the panel banks’ quote submissions to the Euribor administrator, the maximum and minimum quotes and the daily variation of submissions. As a result, we found a group of five banks with similar and extreme submission patterns, which might be a sign of manipulation. Regarding the second aspect, changes are made in the quotes submitted by panel banks by switching minimum and maximum daily quotes. Thus, potential for Euribor manipulation is measured as the difference between the observed Euribor rate and the estimated rate recalculated with adjusted quotes. The results indicate that potential for Euribor manipulation is higher when the number of banks in the panel is lower, when there are many banks involved in the manipulation of the Index, and in times of financial distress.Rubén HerreraFrancisco ClimentAlexandre MomparlerPedro CarmonaTaylor & Francis Grouparticleeuribormoney marketsrate-fixingmanipulationcollusionpanel bankEconomic growth, development, planningHD72-88Regional economics. Space in economicsHT388ENEkonomska Istraživanja, Vol 34, Iss 1, Pp 2833-2852 (2021) |
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DOAJ |
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DOAJ |
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EN |
| topic |
euribor money markets rate-fixing manipulation collusion panel bank Economic growth, development, planning HD72-88 Regional economics. Space in economics HT388 |
| spellingShingle |
euribor money markets rate-fixing manipulation collusion panel bank Economic growth, development, planning HD72-88 Regional economics. Space in economics HT388 Rubén Herrera Francisco Climent Alexandre Momparler Pedro Carmona Can Euribor be fixed? |
| description |
The manipulation of Euro Interbank Offered Rate (Euribor) is a problem with great impact on international financial markets. This paper focuses on two aspects of the Euribor benchmark rate for the period 2004–2018: the specific features that make the Index more vulnerable to manipulation and the potential for Index manipulation over the studied period. To address the first aspect, we examine the range and the standard deviation of daily quotes, as well as the panel banks’ quote submissions to the Euribor administrator, the maximum and minimum quotes and the daily variation of submissions. As a result, we found a group of five banks with similar and extreme submission patterns, which might be a sign of manipulation. Regarding the second aspect, changes are made in the quotes submitted by panel banks by switching minimum and maximum daily quotes. Thus, potential for Euribor manipulation is measured as the difference between the observed Euribor rate and the estimated rate recalculated with adjusted quotes. The results indicate that potential for Euribor manipulation is higher when the number of banks in the panel is lower, when there are many banks involved in the manipulation of the Index, and in times of financial distress. |
| format |
article |
| author |
Rubén Herrera Francisco Climent Alexandre Momparler Pedro Carmona |
| author_facet |
Rubén Herrera Francisco Climent Alexandre Momparler Pedro Carmona |
| author_sort |
Rubén Herrera |
| title |
Can Euribor be fixed? |
| title_short |
Can Euribor be fixed? |
| title_full |
Can Euribor be fixed? |
| title_fullStr |
Can Euribor be fixed? |
| title_full_unstemmed |
Can Euribor be fixed? |
| title_sort |
can euribor be fixed? |
| publisher |
Taylor & Francis Group |
| publishDate |
2021 |
| url |
https://doaj.org/article/165032eaa9fa46b8aebf8ef77927a0ca |
| work_keys_str_mv |
AT rubenherrera caneuriborbefixed AT franciscocliment caneuriborbefixed AT alexandremomparler caneuriborbefixed AT pedrocarmona caneuriborbefixed |
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