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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/110228

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/110228

Title:	A Re-Examination of Libor Rigging: A Time-Varying Cointegration Perspective
Authors:	張元晨 Chua, Chew Lian;Suardi, Sandy;Chang, Yuanchen
Contributors:	財管系
Keywords:	Libor;Manipulation;Collusion;Time-varying cointegration
Date:	2017
Issue Date:	2017-06-12 17:40:37 (UTC+8)
Abstract:	Using a time-varying cointegration framework, this paper examines the alleged manipulation of the London interbank offered rate (Libor) during the 2007–2009 financial crisis. Bank quotes are found to be poor indicators of their financing costs in the crisis period. The aberration in the estimated values of the cointegrating and error correction parameters governing the long-run equilibrium relationship between bank quotes and the final Libor suggests banks were submitting lower quotes. Further analysis which controls for an individual bank’s credit risk, market wide credit and liquidity risks, and a common market factor, demonstrate possible evidence of Libor rigging during the crisis period.
Relation:	Quantitative Finance, Published online: 20 Feb 2017
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1080/14697688.2016.1267390
DOI:	10.1080/14697688.2016.1267390
Appears in Collections:	[財務管理學系] 期刊論文

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