Journal article
A mechanism for LIBOR
- Abstract:
- The investigations into LIBOR have highlighted that it is subject to manipulation. We examine a new method for constructing LIBOR that produces an unbiased estimator of the true rate. LIBOR itself is based solely on transactions. We allow for fines when a bank’s transaction is different than a comparison rate, which depends on the set of transactions and non-manipulated rates elicited by a revealed preference mechanism. These non-manipulated rates will always be used in the fines, but transactions may not. We address how this approach applies to potential replacements for LIBOR and other financial benchmarks, and how it works even in markets in which there are few transactions.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
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Access Document
- Files:
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(Preview, Accepted manuscript, pdf, 250.6KB, Terms of use)
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- Publisher copy:
- 10.1093/rof/rfx045
Authors
- Publisher:
- Oxford University Press
- Journal:
- Review of Finance More from this journal
- Volume:
- 22
- Issue:
- 2
- Pages:
- 491–520
- Publication date:
- 2017-10-04
- Acceptance date:
- 2017-09-12
- DOI:
- EISSN:
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1573-692X
- ISSN:
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1572-3097
Terms of use
- Copyright holder:
- Coulter et al
- Copyright date:
- 2017
- Notes:
- Copyright © 2017 The Authors. Published by Oxford University Press on behalf of the European Finance Association. This is the accepted manuscript version of the article. The final version is available online from Oxford University Pres at: https://doi.org/10.1093/rof/rfx045
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