Motives and Consequences of Libor Strategic Reporting: How Much Can We Learn from Banks’ Self-Reported Borrowing Rates?
中文摘要
Libor是对银行间借款成本的估计，每日根据一组固定银行报告的利率计算得出。有证据表明，近年来银行通过虚报借款成本操纵了Libor。我估计了一个策略性报告模型，用以识别银行的借款成本及其虚报动机。该估计给出了银行如实报告借款成本时Libor本应取值的下界。即使存在如下形式的不可观测异质性，该模型仍可识别：一个所有银行均知晓、但计量经济学家无法观测的共同成本成分，且允许该共同成本成分服从非平稳过程。用于识别的数据仅为银行的Libor报价。总体而言，我发现，未受操纵的Libor的估计下界始终高于公布的Libor，在2007—2008年金融危机最严重时期，两者的平均差距为25个基点。该估计下界的变动形态与另外两种银行间借款成本指标相似，这两种指标此前曾用于评估操纵程度。该模型还用于确定信号传递或银行对Libor的净敞口在多大程度上驱动了虚报。估计结果表明，传递信用资质信号是2007年至2010年间系统性虚报的主要驱动因素。
Abstract
Abstract Libor is an estimate of interbank borrowing costs computed daily from rates reported by a fixed panel of banks. Evidence suggests that banks have manipulated Libor in recent years by misreporting their borrowing costs. I estimate a strategic reporting model that identifies banks’ borrowing costs as well as their motives for misreporting. The estimation places a lower bound on the value that Libor would have had if banks had truthfully reported their borrowing costs. The model is identified even when unobserved heterogeneity exists in the form of a common cost component that is known by all banks but unobservable to the econometrician and is allowed to follow a non-stationary process. The only data used for identification are banks’ Libor quotes. Overall, I find that the estimated lower bound for the unmanipulated Libor is always above the published Libor, with an average deviation of 25 basis points at the worst of the financial crisis of 2007–2008. The estimated bound displays a pattern similar to two other measures of interbank borrowing costs that have been used previously to assess the extent of manipulation. The model is also used to determine the extent to which misreporting was motivated by signalling or banks’ net exposure to Libor. The estimation results indicate that sending creditworthiness signals was the main driver of systematic misreporting from 2007 to 2010.