Libor Manipulation: Cui Bono?
Event details
| Date | 17.04.2015 |
| Hour | 10:30 › 12:00 |
| Speaker | Alberto PLAZZI (Università della Svizzera Italiana, Lugano) |
| Location | |
| Category | Conferences - Seminars |
Using data on Libor submissions from 1999 to 2012, we find weak support for the hypothesis that banks manipulate submissions to appear less risky and strong support for the hypothesis that banks manipulate Libor to generate higher cash flows. Our results are stronger for the manipulation period as identified by regulators (January 2005 to May 2009), for currencies and maturities with substantial notional amounts of interest-rate derivatives outstanding, for European banks, and for banks that have already paid fines related to manipulation. We calculate the cumulative gains in bank market capitalization due to manipulation to be $16 to $19 billion.
Links
Practical information
- Informed public
- Free