Efficiency of the 1 month LIBOR futures market in light of the recent LIBOR setting scandal

الموضوعات

إدارة

الملخص

This paper examines the relationship between spot and future prices for the 1 month LIBOR market in light of the recent LIBOR setting scandal. In particular, we examine whether 1 month LIBOR futures are (1) an unbiased predictor of future LIBOR spot rates and (2) the predictive ability of LIBOR futures in forecasting future spot rates. Despite the manipulations by prime banks, the 1 month LIBOR futures settlement price closely follows the 1 month LIBOR spot rate. In addition, there is strong statistical evidence that the 1 month LIBOR futures contracts are unbiased predictors of future sport rates. However, the ability of the model to predict future LIBOR spot rates appears to be weak. In part, this failure of 1 month LIBOR futures to predict future spot rates is attributed to the existence of periods of instability or shocks in the financial system. After accounting for such phenomena, the ability of LIBOR futures to predict LIBOR spot rates is greatly enhanced. This leads us to be cautiously optimistic that 1 month LIBOR future could prove to be a useful tool in many financial contexts such as helping the Federal Reserve achieve its target interest rate in the market on hand, and from a regulatory perspective where regulators could rely on the model to spot manipulations in the market on the other hand.

روابط وملفات

التعريف والنوع

رقم الوثيقة

0a4791a3-174d-4295-821d-4b4d8788178a

رقم العقد

0

نوع الوسائط

Crawler

نوع المحتوى

الرسائل العلمية

صيغة المصدر

رسائل ماجيستير

نوع الملف

pdf text

أسماء الملفات

1634819_1.pdf

بيانات النشر

ألقاب المؤلفين

[{"name_ar":" Ibrahim Jamali ","title_ar":"اشراف","title_en":"Supervision"},{"name_ar":" Rami Imad Jabado","title_ar":"اعداد","title_en":"Preparation"}]

اللغة

English

المصدر والدورية

اسم المصدر

Efficiency of the 1 month LIBOR futures market in light of the recent LIBOR setting scandal

المحتوى والصفحات

عدد الصفحات

0

إشراف وإعداد

الإشراف

Ibrahim Jamali

الإعداد

Rami Imad Jabado

الاقتباسات الببليوغرافية