| dc.contributor | 財管系 | |
| dc.creator (作者) | 張元晨 | zh_TW |
| dc.creator (作者) | Chua, Chew Lian;Suardi, Sandy;Chang, Yuanchen | |
| dc.date (日期) | 2017 | |
| dc.date.accessioned | 12-Jun-2017 17:40:37 (UTC+8) | - |
| dc.date.available | 12-Jun-2017 17:40:37 (UTC+8) | - |
| dc.date.issued (上傳時間) | 12-Jun-2017 17:40:37 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/110228 | - |
| dc.description.abstract (摘要) | 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. | |
| dc.format.extent | 4221192 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Quantitative Finance, Published online: 20 Feb 2017 | |
| dc.subject (關鍵詞) | Libor; Manipulation; Collusion; Time-varying cointegration | |
| dc.title (題名) | A Re-Examination of Libor Rigging: A Time-Varying Cointegration Perspective | |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.1080/14697688.2016.1267390 | |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1080/14697688.2016.1267390 | |
