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1、JournalofBanking&Finance36(2012)136–150ContentslistsavailableatScienceDirectJournalofBanking&Financejournalhomepage:www.elsevier.com/locate/jbfLibormanipulation?a,?bcdRosaM.Abrantes-Metz,MichaelKraten,AlbertD.Metz,GimS.SeowaAFEConsulting,LeonardN.SternSchoolofBusin
2、ess,NewYorkUniversity,NewYork,NY10020,USAbSchoolofBusiness,ProvidenceCollege,Providence,RI02918,USAcMoody’sInvestorsService,NewYork,NY10007,USAdSchoolofBusiness,UniversityofConnecticut,Storrs,CT06269,USAarticleinfoabstractArticlehistory:OnMay29,2008theWallStreetJou
3、rnalpublishedanarticleallegingthatseveralglobalbankswereReceived20March2009reportingLiborquotessigni?cantlylowerthanthoseimpliedbyprevailingcreditdefaultswap(CDS)Accepted20June2011spreads.Whileacknowledgingthatthe‘‘a(chǎn)nalysisdoesn’tprovethatbanksarelyingormanipulatin
4、gAvailableonline13July2011Libor,’’itneverthelessconjecturesthatthesebanksmay‘‘havebeenlow-ballingtheirborrowingratestoavoidlookingdesperateforcash.’’JELclassi?cation:InthispaperwecompareLiborwithothershort-termborrowingrates,analyzeindividualbankquotes,C10andcompar
5、etheseindividualquotestoCDSspreadsandmarketcapitalizationdataduringthreeperiods:C221/1/07–8/8/07(Period1),8/9/07–4/16/08(Period2),and4/17/08–5/30/08(Period3).We?ndsomeG14G24anomalousindividualquotes,buttheevidenceisinconsistentwithamaterialmanipulationoftheUSdol-K2
6、0lar1-monthLiborrate.ó2011ElsevierB.V.Allrightsreserved.Keywords:LiborManipulationsConspiraciesCollusionPrice-?xingBid-riggingCreditdefaultswapspreads1.Introductionglobally.Itisusedasthebasisforsettlementofinterestratecon-tractsonmanyoftheworld’smajorfuturesandopti
7、onsexchangesAMay29,2008WallStreetJournalarticleallegesthatseveral(includingLIFFE,DeutscheTermB?rse,Euronext,SIMEXandTIFFE)globalbankswerereportingunjusti?ablylowborrowingcostsforaswellasmostOver-the-Counter(OTC)andlendingtransactions.’’thecalculationofthedailyLondo
8、nInterbankOfferRate(Libor)FortransactionsthatutilizeLiborasabenchmarkforestablishingbenchmark(MollenkampandWhitehouse,2008).Speci?cally,theborrow