Can Euribor be fixed
Bibliographic Data
| ID | 15067367 |
|---|---|
| Authors | Rubén Herrera (Actuarial Consultant & Independent Researcher, Madrid, Spain, corresponding author), F Climent (0000-0003-2698-889X, Economia Financera i Actuarial, Universitat de València, Avinguda Tarongers, Valencia, Spain), Alexandre Momparler (0000-0003-1683-9903, Finances Empresarials, Universitat de València facultat d'economia, Avinguda Tarongers, Valencia, Spain), Pedro Carmona (0000-0002-9979-2727, Comptabilitat, Universitat de València, Avinguda Tarongers, Valencia, Spain) |
| Year | 2021 |
| Volume | 34 |
| Issue | 1 |
| Pages | 2833-2852 |
| Publication date | 2021-01-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Economic Research-Ekonomska Istraživanja (JOURNAL) |
| Journal identifiers | ISSN: 1331-677X • E-ISSN: 1848-9664 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/1331677x.2020.1844029 |
| OpenAlex | W3098710802 |
| Language | EN |
| References cited | 16 |
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
Economics · European Monetary and Fiscal Policies · Global Financial Crisis and Policies · Monetary Policy and Economic Impact
| Citation velocity | historical |
|---|---|
| Highly cited | No |