Author, as appears in the article.: Barivier, Aurelio F.; Guercio, M. Belén; Martínez, Lisana B.; Rosso, Osvaldo A.
Department: Gestió d'Empreses
URV's Author/s: Fernández Bariviera, Aurelio, Guercio, M. Belén; Martínez, Lisana B. ; Rosso, Osvaldo, A.
Keywords: Permutation entropy Libor Information theory Teoría de la información Entropía de permutación Libor Teoria de la informació Entropia de permutació Libor
Abstract: This paper studies the 28 time series of Libor rates, classified in seven maturities and four currencies, during the last 14 years. The analysis was performed using a novel technique in financial economics: the Complexity Entropy Causality Plane. This planar representation allows the discrimination of different stochastic and chaotic regimes. Using a temporal analysis based on moving windows, this paper unveils an abnormal movement of Libor time series around the period of the 2007 financial crisis. This alteration in the stochastic dynamics of Libor is contemporary of what press called Libor scandal , i.e. the manipulation of interest rates carried out by several prime banks. We argue that our methodology is suitable as a market watch mechanism, as it makes visible the temporal redution in informational efficiency of the market.
Thematic Areas: Economics and business Economía y empresa Economia i empresa
licence for use: https://creativecommons.org/licenses/by/3.0/es/
Author's mail: aurelio.fernandez@urv.cat
ISSN: 0960-0779
Author identifier: https://orcid.org/0000-0003-1014-1010
Paper data publication: 2016-07
Record's date: 2016-04-18
Last page: 182
Journal volume: 88
Papper version: info:eu-repo/semantics/submittedVersion
Link to the original source: https://www.sciencedirect.com/science/article/abs/pii/S0960077916300406?via%3Dihub
Licence document URL: https://repositori.urv.cat/ca/proteccio-de-dades/
Article's DOI: 10.1016/j.chaos.2016.02.009
Entity: Universitat Rovira i Virgili
Journal publication year: 2016
First page: 172
Publication Type: Article Artículo Article
Repositori URV