Articles producció científicaGestió d'Empreses

Libor at crossroads: Stochastic switching detection using information theory quantifiers

  • Identification data

    Identifier:  PC:1457
    Authors:  Barivier, Aurelio F.; Guercio, M. Belén; Martínez, Lisana B.; Rosso, Osvaldo A.
    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.
  • Others:

    Link to the original source: https://www.sciencedirect.com/science/article/abs/pii/S0960077916300406?via%3Dihub
    Article's DOI: 10.1016/j.chaos.2016.02.009
    Journal publication year: 2016
    Entity: Universitat Rovira i Virgili
    Paper version: info:eu-repo/semantics/submittedVersion
    Record's date: 2016-04-18
    First page: 172
    URV's Author/s: Fernández Bariviera, Aurelio, Guercio, M. Belén; Martínez, Lisana B. ; Rosso, Osvaldo, A.
    Department: Gestió d'Empreses
    Licence document URL: https://repositori.urv.cat/ca/proteccio-de-dades/
    Publication Type: Article
    Last page: 182
    ISSN: 0960-0779
    Author, as appears in the article.: Barivier, Aurelio F.; Guercio, M. Belén; Martínez, Lisana B.; Rosso, Osvaldo A.
    licence for use: https://creativecommons.org/licenses/by/3.0/es/
    Journal volume: 88
    Thematic Areas: Economics and business
    Paper data publication: 2016-07
    Author's mail: aurelio.fernandez@urv.cat
  • Keywords:

    Permutation entropy
    Libor
    Information theory
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