Could Transaction-Based Financial Benchmarks be Susceptible to Collusive Behavior?

References

• Abrantes-Metz, Rosa A., Sofia B. Villas-Boas, and George Judge. 2011. “Tracking the LIBOR Rate.” Applied Economic Letters 18 (10): 893–899.
   Web of Science ®Google Scholar
• Alternative Reference Rates Committee (The). 2019. “A User’s Guide to SOFR.” New York: Federal Reserve. Available at www.newyorkfed.org/medialibrary/Microsites/arrc/files/2019/Users_Guide_to_SOFR.pdf. Accessed December 8, 2021.
   Google Scholar
• Bank for International Settlements (BIS). 2013. “Towards Better Reference Rate Practices: A Central Bank Perspective.” Basel, Switzerland: BIS. Available at https://www.bis.org/publ/othp19.pdf. Accessed December 6, 2021.
   Google Scholar
• Bank of Zambia (BOZ). 2012. “Monetary Policy Statement: July to December 2012”. Lusaka: BOZ. Available at www.boz.zm/MonetaryPolicyStatementJul-Dec2012.pdf. Accessed December 12, 2021.
   Google Scholar
• Benford, Frank. 1938. “The Law of Anomalous Numbers.” Proceedings of American Philosophical Society 78 (4): 551–572.
   Google Scholar
• British Bankers Association (BBA). 2012. “The Wheatley Review of LIBOR: Final Report”. September 2012. London: BBA. Available from https://assets.publishing.service.gov.uk/government/uploads/system/uploads/attachment_data/file/191762/wheatley_review_libor_finalreport_280912.pdf. Accessed 24 March 2021.
   Google Scholar
• Chipili, Jonathan, Francis Z. Mbao, Alick B. Lungu, Shula M. Sikaona, Anthony Bwalya, and Cosam C. Chanda. 2019. “Segmentation of the Interbank Money Market in Zambia.” Centre for Global Finance Working Paper Series, No. 16. Accessed December 2, 2021.
   Google Scholar
• Duffie, Darrell, and Jeremy. C. Stein. 2015. “Reforming LIBOR and Other Financial Market Benchmarks.” Journal of Economic Perspectives 29n (2): 191–212. doi:https://doi.org/10.1257/jep.29.2.191
   Web of Science ®Google Scholar
• European Central Bank (ECB). 2021. “Transmission Mechanism of Monetary Policy.” Frankfurt: ECB. Available at www.ecb.europa.eu/mopo/intro/transmission/html/index.en.html. Accessed December 2, 2021.
   Google Scholar
• Federal Reserve Bank of New York. 2021a. “Secured Overnight Financing Rate Data.” New York: Federal Reserve Bank of New York. Available at https://apps.newyorkfed.org/markets/autorates/SOFR. Accessed December 8, 2021.
   Google Scholar
• Federal Reserve Bank of New York 2021b. “Reference Rates.” New York: Federal Reserve Bank of New York. Available at https://www.newyorkfed.org/markets/reference-rates, Accessed December 8, 2021.
   Google Scholar
• Financial Markets Association (ACI). 2015. “The Model Code: The International Code of Conduct and Practice for the Financial Markets.” Paris, France: ACI, 2015. Available at https://multimediatradewind.co.uk/wp-content/uploads/2018/05/aci_model_code_feb_2015.pdf. Accessed December 9, 2021.
   Google Scholar
• Financial Services Authority (FSA). 2012. Final Notice: Barclays Bank Plc, June 27, 2012. London: FCA. Available at https://www.fca.org.uk/publication/final-notices/barclays-jun12.pdf. Accessed December 6, 2021.
   Google Scholar
• Giles, David E. 2007. “Benford’s Law and Naturally Occurring Prices in Certain eBay Auctions.” Applied Economic Letters 14 (3): 157–161.
   Web of Science ®Google Scholar
• IOSCO. 2013. “Principles of Financial Benchmarks: Final Report.” Madrid, Spain: IOSCO. Available at www.iosco.org/library/pubdocs/pdf/IOSCOPD415.pdf. Accessed December 3, 2021.
   Google Scholar
• Keynes, John Maynard. 1936. The General Theory of Interest, Employment and Money. London: Macmillan.
   Google Scholar
• Muchimba, Lilian, and Alexis Stenfors. 2021. “Beyond LIBOR: Money Markets and the Illusion of Representativeness.” Journal of Economic Issues 55 (2): 565–573.
   Web of Science ®Google Scholar
• Nigrini, Mark J. 2012. “Benford’s Law: Applications for Forensic Accounting, Auditing, and Fraud Detection.” Hoboken, NJ: John Wiley & Sons.
   Google Scholar
• Schrimpf, Andreas, and Vladyslav Sushko. 2019. “Beyond LIBOR: A Primer on the New Benchmark Rates.” BIS Quarterly Review, March 5, 2019.
   Google Scholar
• Smith, Adam. (1776) 1976. An Inquiry into the Nature and Causes of the Wealth of Nations. edited by R.H. Campbell, A.S. Skinner and W.B. Todd. Glasgow: Oxford University Press.
   Google Scholar
• Stenfors, Alexis. 2018. “Bid-Ask Spread Determination in the FX Swap Market: Competition, Collusion or a Convention?” Journal of International Financial Markets, Institutions and Money 54 (May): 78–97.
   Web of Science ®Google Scholar
• Stenfors, Alexis. 2020. “Manipulative and Collusive Practices in FX Markets.” In Corruption and Fraud in Financial Markets: Malpractice, Misconduct and Manipulation, edited by Carol Alexander and Douglas Cumming, 181–199. Chichester: John Wiley & Sons Limited.
   Google Scholar
• Stenfors, Alexis, and Duncan Lindo. 2018. “LIBOR 1986–2021: The Making and Unmaking of ‘The World’s Most Important Price.’” Distinktion: Journal of Social Theory 19 (2): 170–192
   Web of Science ®Google Scholar
• Swiss Competition Commission (COMCO). 2016. “COMCO Fines Banks for Participating in the Euribor Cartel.” December 21. Bern: COMCO. Available at https://www.weko.admin.ch/weko/en/home/medien/press-releases/nsb-news.msg-id-65052.html. Accessed May 8, 2021.
   Google Scholar
• United States Commodity Futures Trading Commission. 2012. CFTC Orders Barclays to pay $200 Million Penalty for Attempted Manipulation of and False Reporting Concerning LIBOR and Euribor Benchmark Interest Rates [press release], June 27, 2012. Washington: U.S. Commodity Futures Trading Commission. Available at https://www.cftc.gov/PressRoom/PressReleases/6289-12. Accessed December 6, 2021.
   Google Scholar
• United States Department of Justice. 2012. “Barclays Bank PLC Admits Misconduct Related to Submissions for the London Interbank Offered Rate and the Euro Interbank Offered Rate and Agrees to pay $160 Million Penalty.” Wednesday, June 27, 2012. Washington: U.S. Department of Justice. Available at www.justice.gov/opa/pr/barclays-bank-plc-admits-misconduct-related-submissions-london-interbank-offered-rate-and. Accessed December 6, 2021.
   Google Scholar
• Varian, Hal R. 1972. “Benford’s Law.” American Statistician 26 (3): 65.
   Google Scholar
• Veblen, Thorstein. (1899) 1957. The Theory of the Leisure Class. London: George Allen & Unwin.
   Google Scholar