Original scientific paper
https://doi.org/10.1080/1331677X.2020.1844029
Can Euribor be fixed?
Rubén Herrera
Francisco Climent
Alexandre Momparler
Pedro Carmona
Abstract
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
Keywords
Euribor; money markets; rate-fixing; manipulation; collusion; panel bank
Hrčak ID:
301462
URI
Publication date:
31.12.2021.
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