Systemic turbulence and risk spillovers in IBOR rates in Europe
DOI:
https://doi.org/10.15611/aoe.2025.1.14Keywords:
IBOR rates, interbank markets, systemic turbulence, risk spilloversAbstract
Aim: The aim of the study was to investigate whether all European IBOR rates were similarly susceptible to turbulence as LIBOR rates, and also to analyse systemic risk spillovers between different IBOR rates in Europe and between these rates and the studied banking systems between 2006 and 2022.
Methodology: The interbank market turbulence measure (ITM) and ΔCoVaR were applied to analyse immediate spillovers based on coefficient analysis and rank the markets based on turbulence characteristics. Dynamic time warping (DTW) was used to cluster the analysed markets based on the course of turbulence, showing variable and time-changing commonalities in IBOR turbulence.
Results: Different levels of overall systemic turbulence for different groups of IBOR rates and in different periods were observed, along with the evidence of dissimilarity and minimal spillovers between LIBOR and IBOR rates after 2011. No evidence was found of risk spillovers from the interbank market towards the banking sector, only the inverse spillovers in the emerging markets were confirmed.
Implications and recommendations: The study shows that that there was no systemic-risk related reason for the CEE region to abandon the IBOR rates. The empirical results put the challenges, risks, and feasibility of a full transition toward the new rates in Europe in a new context. The conclusions are relevant for market regulators in the investigated region because they apply not only to the IBOR rates but also to the new rates adopted recently.
Originality/value: The paper presents a novel turbulence measure (ITM), developing and employing a set of innovations in calculating ΔCoVaR, as well as the DTW method developed for natural sciences in a financial market setting. Thanks to these methodological innovations the study encompassed an unprecedentedly large sample of countries, including 72 banks that are systemically important for Europe and 19 IBOR term structures, making this paper the most comprehensive analysis of Western, Central, and Eastern Europe with respect to interbank market turbulence.
Downloads
References
Aagaard, J. (2012). Barclays trækker sig ud af CIBOR Barclays withdraws from CIBOR. https://www.berlingske.dk/virksomheder/barclays-traekker-sig-ud-af-cibor
Abrantes-Metz, R. M., Kraten, M., D. Metz, D. A., & Seow, S. G. (2011a). Libor manipulation? Journal of Banking & Finance, 36(1), 136-50. https://doi.org/10.1016/j.jbankfin.2011.06.014
Abrantes-Metz, R. M., Villas-Boas, S. B., & Judge, G. (2011b). Tracking the Libor rate. Applied Economics Letters, 18(10), 893-899. https://doi.org/10.1080/13504851.2010.515197
Acemoglu, D., Ozdaglar A., & Tahbaz-Salehi, A. (2015). Systemic risk and stability in financial networks. American Economic Review, 105(2). 564-608. https://doi.org/10.1257/aer.20130456
Acharya, V. V. (2009). A theory of systemic risk and design of prudential bank regulation. Journal of Financial Stability, 5(3), 224-255.
Acharya, V. V., & Thakor, A. V. (2016). The dark side of liquidity creation: leverage and systemic risk. Journal of Financial Intermediation, 28 (October), 4-21. https://doi.org/10.1016/j.jfi.2016.08.004
Acharya, V. V., &. Steffen, S. (2020). “Stress tests” for banks as liquidity insurers in a time of COVID. VoxEU.org. Retrieved from: https://cepr.org/voxeu/columns/stress-tests-banks-liquidity-insurers-time-covid
Acharya, V. V., Gale, G., & Tanju, Y. (2011). Rollover risk and market freezes. The Journal of Finance, 66(4), 1177-1209. https://doi.org/10.1111/j.1540-6261.2011.01669.x
Acharya, V., & Bisin, A. (2014). Counterparty risk externality: centralized versus over-the-counter markets. Journal of Economic Theory, 149 (January), 153-82. https://doi.org/10.1016/j.jet.2013.07.001
Acharya, V., & Rajan, R. (2024). Liquidity, liquidity everywhere, not a drop to use: Why flooding banks with central bank reserves may not expand liquidity. The Journal of Finance, 79(5), 2943-2991. https://doi.org/10.1111/jofi.13370
Adrian, T., & Brunnermeier, M. K. (2016). CoVaR. American Economic Review, 106(7), 1705-1741. https://doi.org/10.1257/aer.20120555
Afonso, G., & Shin, S. H. (2011). Precautionary demand and liquidity in payment systems. Journal of Money, Credit and Banking, 43(October), 589-619. https://doi.org/10.1111/j.1538-4616.2011.00454.x
Afonso, G., Kovner, A., & Schoar, A. (2011). Stressed, not frozen: The federal funds market in the financial crisis. Staff Report, 437. Federal Reserve Bank.
Allen, F., . Babus, A., & Carletti, E. (2012). Asset commonality, debt maturity and systemic risk. Journal of Financial Economics, 104(3), 519-34. https://doi.org/10.1016/j.jfineco.2011.07.003
Allen, F., & Babus, A. (2009). Networks in finance. In P. R. Kleindorfer, & Y. Wind (Eds)The network challenge. strategy, profit, and risk in an interlinked world (pp. 367–382). Wharton School Publishing.
Allen, F., & Gale, D. (2000a). Bubbles and crises. The Economic Journal, 110, 236-55.
Allen, F., & Gale, D. (2000b). Financial contagion. Journal of Political Economy, 108, 1-33.
Allen, F., Carletti, E., & Gale, D. (2009). Interbank market liquidity and central bank intervention. Journal of Monetary Economics, 56, 639-52.
Anand, K., Gai, P., Kapadia, S., Brennan, S., & Willison, M. (2013). A network model of financial system resilience. Journal of Economic Behavior & Organization, 85, 219–235. https://doi.org/10.1016/j.jebo.2012.04.006
Aragon, G., & Strahan, Ph. (2009). Hedge funds as liquidity providers: evidence from the Lehman bankruptcy. Working Paper, 15336. National Bureau of Economic Research.
Ashton, P., & Christophers, B. (2015). On arbitration, arbitrage and arbitrariness in financial markets and their governance: Unpacking LIBOR and the LIBOR scandal. Economy and Society, 44(2), 188-217. https://doi.org/10.1080/03085147.2015.1013352
Atanasov, V., Davies, J. R., & Merrick, J. J. (2015). Financial intermediaries in the midst of market manipulation: did they protect the fool or help the knave? Journal of Corporate Finance, 34(October), 210-34. https://doi.org/10.1016/j.jcorpfin.2015.07.011
Babus, A., & Hu, T.-W. (2017). Endogenous intermediation in over-the-counter markets. Journal of Financial Economics, 125(1), 200-215. https://doi.org/10.1016/j.jfineco.2017.04.009
Babus, A. (2016). The formation of financial networks. The RAND Journal of Economics, 47(2), 239-72. https://doi.org/10.1111/1756-2171.12126
Bahoo, S. (2020). Corruption in banks: A bibliometric review and agenda. Finance Research Letters, 35, 101499. https://doi.org/10.1016/j.frl.2020.101499
Baig, A., & Winters, D. B. (2022). The search for a new reference rate. Review of Quantitative Finance and Accounting, 58(3), 939-976. https://doi.org/10.1007/s11156-021-01014-y
Bailey, A. (2019). “LIBOR: preparing for the end.” Speech by Andrew Bailey, Chief Executive of the FCA, at the Securities Industry and Financial Markets Association’s (SIFMA) LIBOR Transition Briefing in New York, USA. July 15. https://www.fca.org.uk/news/speeches/libor-preparing-end.
Bank of England, BoE. (2021). 2021 list of UK firms designated as other systemically important institutions (O-SIIs) and scores. https://www.bankofengland.co.uk/-/media/boe/files/prudential-regulation/crd-iv/2021-list-of-uk-firms-designated-as-osiis.pdf
Bank of England, BoE. (2022). 2022 list of UK firms designated as other systemically important institutions (O-SIIs). https://www.bankofengland.co.uk/prudential-regulation/publication/2022/november/2022-list-of-uk-firms-designated-as-osiisBank
Bank of England, BoE. (2023). Transition to sterling risk free rates from LIBOR. https://www.bankofengland.co.uk/markets/transition-to-sterling-risk-free-rates-from-libor 2023
Bank of Russia, BoR. (2022). List of systemically important credit institutions approved. https://www.cbr.ru/eng/press/pr/?id=38141
Bariviera, A. F., Guercio, M. B., Martinez, L. B., & Rosso, O. A. (2016). Libor at crossroads: Stochastic switching detection using information theory quantifiers. Chaos, Solitons & Fractals, 88, 172-182. https://doi.org/10.1016/j.chaos.2016.02.009
Benoit, S., Colliard, J.-E., Hurlin, C., & Pérignon, C. (2017). Where the risks lie: a survey on systemic risk. Review of Finance, 21(1), 109-52. https://doi.org/10.1093/rof/rfw026
Bessembinder, H., Hao, J., & Lemmon, M. L. (2011). Why Designate Market Makers? Affirmative Obligations and Market Quality. SSRN Scholarly Paper No. 989061. https://doi.org/10.2139/ssrn.989061
Blåvarg, M., & Nimander, P. (2002). Interbank exposures and systemic risk. Sveriges Riksbank’s Economic Review, 2, 19-45.
Boss, M., Elsinger, H., Summer, M., & Thurner, S. (2004). Network topology of the interbank market. Quantitative Finance, 4, 677-84.
Boyson, N. M., Stahel, W. C., & Stulz, M. R. (2010). Hedge fund contagion and liquidity shocks. Journal of Finance, 65, 1789-816.
Braml, H.(2016). The manipulation of LIBOR and related interest rates. Studies in Economics and Finance, 33(1), 106-25. https://doi.org/10.1108/SEF-10-2014-0203
Brownlees, C., & Engle, R. F. (2017). SRISK: A Conditional Capital Shortfall Measure of Systemic Risk. Review of Financial Studies, 30(1), 48-79. https://doi.org/10.1093/rfs/hhw060
Brunnermeier, M. K. (2008). Bubbles. In Palgrave Macmillan (Ed.), The New Palgrave Dictionary of Economics (pp. 1–8). Palgrave Macmillan UK. https://doi.org/10.1057/978-1-349-95121-5_44-2
Brunnermeier, M. K., & Pedersen, H. L. (2009). Market liquidity and funding liquidity. Review of Financial Studies, 22, 2201-38.
Brunnermeier, M. K., & Oehmke, M. (2013). The maturity rat race. The Journal of Finance, 68, 483-521.
Brunnermeier, M. K., & Sannikov, Y. (2014). A macroeconomic model with a financial sector. The American Economic Review, 104, 379-421.
Brunnermeier, M. K., Eisenbach, M. T., & Sannikov, Y. (2013). Macroeconomics with financial frictions: A survey. In Advances in Economics and Econometrics, Tenth World Congress of the Econometric Society. Cambridge University Press, vol. 2, pp. 3-96.
Bryan, D., & Rafferty, M. (2016). The unaccountable risks of LIBOR. The British Journal of Sociology, 67(1), 71-96. https://doi.org/10.1111/1468-4446.12177
Buiter, W. H. (2008). Central banks and financial crises. Discussion paper, 619. Financial Markets Group, London School of Economics and Political Science.
Burgess, N. (2020).How Risky is your Project Really? Corporate finance strategies for assessing risk. Retrieved from: https://ssrn.com/abstract=3748822 or http://dx.doi.org/10.2139/ssrn.3748822
Caballero, R., & Simsek, A. (2013). Fire Sales in a Model of Complexity. The Journal of Finance, 68, 2549-87.
Castiglionesi, F., & Navarro, N. (2011). Fragile financial networks. Working paper. Tilburg University. Retrieved from: https://research.tilburguniversity.edu/en/publications/optimal-fragile-financial-networks
Cespa, G., & Foucault, T. (2014). Illiquidity contagion and liquidity crashes. Review of Financial Studies,27, 1615-60.
CFA Institute, CFA. (2022). Systemic risk and management in finance. Retrieved August 23, 2022, from https://www.cfainstitute.org/en/advocacy/issues/systemic-risk
Chan-Lau, J. A., Espinosa, M., & Sole, J. (2009). On the use of network analysis to assess systemic financial linkages. Global Financial Stability Report. International Monetary Fund.
Chen, D., & Duffie, D. (2021). Market fragmentation. American Economic Review, 111(7), 2247-74. https://doi.org/ 10.1257/aer.20200829
Cifuentes, R., Hyun S., & Ferrucci, G. (2005). Liquidity risk and contagion. Journal of the European Economic Association, 3, 556-66.
Clementi, D. (2001). Financial markets: Implications for financial stability. Balance Sheet, 9(3), 7-12.
Cooperman, H., Duffie, D., Luck, S., Wang, Z., & Yang, Y. (2022). Bank funding risk, reference rates, and credit supply. Federal Reserve Bank of New York Staff Reports, No. 1042.
Coulter, B., Shapiro, J., & Zimmerman, P. (2018). A mechanism for LIBOR. Review of Finance, 22(2), 491-520. https://doi.org/10.1093/rof/rfx045
Coval, J., & Stafford, E. (2007). Asset fire sales (and purchases) in equity markets. Journal of Financial Economics, 86(2), 479-512.
Covi, G., & Gu, X. (2022). Interbank network and banks’ credit supply. Bank of England Staff Working Paper No. 1,005. November. https://www.bankofengland.co.uk/-/media/boe/files/working-paper/2022/interbank-network-and-banks-credit-supply.pdf
Cox, J. C., Ingersoll, J., & Ross, S. (1981). The relation between forward prices and futures prices. Journal of Financial Economics, 9, 321-46.
Danielsson, J., Macrae, R., & Micheler, E. (2017). Brexit and systemic risk. LSE Research Online Documents on Economics, 85124, London School of Economics and Political Science, LSE Library.
Dao, T. M., McGroarty, F. &Urquhart, A. (2019). The Brexit vote and currency markets. Journal of International Financial Markets, Institutions and Money, 59(March), 153-64. https://doi.org/10.1016/j.intfin.2018.11.004
de La Grandville, O. (2003). Bond Pricing and Portfolio Analysis: Protecting Investors in the Long Run. MIT Press.
Diamond, D. W., & Rajan, G. R. (2005). Liquidity shortages and banking crises. Journal of Finance,60, 615-47.
Duffie, D. (2014). Financial market infrastructure: too important to fail. In M. N. Baily & J. B. Taylor (Eds.). Across the Great Divide: New Perspectives on the Financial Crisis. Book Chapter 11. 251-57. Hoover Institution, Stanford University.
Duffie, D. (2018). Compression auctions with an application to LIBOR-SOFR swap conversion. Technical Report. Graduate School of Business, Stanford University.
Duffie D. (2020). Still the world’s safe haven? Redesigning the U.S. treasury market after the COVID-19 crisis. Hutchins Center Working Papers, 62, June.
Duffie, D. (2022). Why government bond markets get dysfunctional—and what to do about it. Conference speech. Annual Financial Market Liquidity Conference Budapest, Hungary, 10-11 November 2022.
Duffie, D., & Zhu, H. (2011). Does a central clearing counterparty reduce counterparty risk? Review of Asset Pricing Studies, 1(1), 74-95. https://doi.org/10.1093/rapstu/rar001
Duffie, D., & Stein, C. J. (2015). Reforming LIBOR and other financial market benchmarks. Journal of Economic Perspectives, 29(2), 191-212. https://doi.org/10.1257/jep.29.2.191
Dziwok, E., & Karaś, A. M. (2021). Systemic illiquidity noise-based measure—a solution for systemic liquidity monitoring in frontier and emerging markets. Risks, 9(7), 124. https://doi.org/10.3390/risks9070124
EBA. (2020). The EU banking sector: First insights into the COVID-19 impacts thematic note, EBA/REP/2020/17.
EBA. (2022). Global systemically important institutions (G-SIIs). https://www.eba.europa.eu/risk-analysis-and-data/global-systemically-important-institutions
Eisenberg, L., & Noe, H. T. (2001). Systemic risk in financial systems. Management Science, 47(2), 236-49. https://doi.org/10.1287/mnsc.47.2.236.9835
Eisl, A., Jankowitsch, R., & Subrahmanyam, M. G. (2017). The manipulation potential of Libor and Euribor. European Financial Management, 23(4), 604-647. https://doi.org/10.1111/eufm.12126
Elliott, M., Golub, B., & Jackson, O. M. (2014). Financial networks and contagion. American Economic Review, 104(10), 3115-53. https://doi.org/10.1257/aer.104.10.3115
Elsinger, H., Lehar, A., & Summer, M. (2006). Risk assessment for banking systems. Management Science, 52(9), 1301-14. http://www.jstor.org/stable/20110606
Engle, R. F., & Zazzara, C. (2018). Systemic risk in the financial system: Capital shortfalls under Brexit, the US elections and the Italian referendum. Journal of Credit Risk, 14(4) .
Eross, A., Urquhart, A., & Wolfe, S. (2016). Liquidity risk contagion in the interbank market. Journal of International Financial Markets, Institutions and Money, 45, 142155. https://doi.org/10.1016/j.intfin.2016.07.005
European Systemic Risk Board, ESRB. 2022. “Systemically Important Institutions.” https://www.esrb.europa.eu/national_policy/systemically/html/index.en.html
European Central Bank, ECB. (2020). Financial Stability Review. https://www.ecb.europa.eu/pub/pdf/fsr/ecb.fsr202011~b7be9ae1f1.en.pdf
European Central Bank, ECB. (2021). Recommendations by the working group on euro risk-free rates on EURIBOR fallback trigger events and €STR-based EURIBOR fallback rates. Frankfurt am Main, May 11.
Fabrizi, M., Huan, X., & Parbonetti, A. (2021). When LIBOR becomes LIEBOR: Reputational penalties and bank contagion. Financial Review, 56(1), 157178. https://doi.org/10.1111/fire.12240
Farboodi, M. (2023). Intermediation and Voluntary Exposure to Counterparty Risk. Journal of Political Economy, 131(12), 3267–3309. https://doi.org/10.1086/725168
Financial Conduct Authority, FCA. (2021). Announcements on the end of LIBOR. March 5. Press release. https://www.fca.org.uk/news/press-releases/announcements-end-libor
Financial Market Supervisory Authority, FINMA. (2022). Systemically important banks. https://www.finma.ch/en/enforcement/recovery-and-resolution/too-big-to-fail-and-financial-stability/systemically-important-banks/
Flannery, M. J. (1996). Financial crises, payment system problems, and discount window lending. Journal of Money, Credit and Banking, 28, 804-24.
Freifeld, K. (2015). Five global banks to pay $5.7 billion in fines over rate rigging. Reuters Report, https://www.reuters.com/article/us-banks-forex-settlementa-usa-idUSKBN0O51PY20150520
Freixas, X., Parigi, M. B., & Rochet, C. J. (2000). Systemic risk, interbank relations, and liquidity provision by the central bank. Journal of Money, Credit and Banking, 32(3), 611-638.
Gabrieli, S., & Co-Pierre G. (2014). A network view on interbank market freezes. Discussion Paper, 44/2014. Deutsche Bundesbank.
Gai, P., & Kapadia, S. (2010). Contagion in financial networks. Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences, 466(2120), 2401-23. https://doi.org/10.1098/rspa.2009.0410
Gandhi, P., Golez, B., Jackwerth, J. C., & Plazzi, A. (2019). Financial market misconduct and public enforcement: The case of Libor manipulation. Management Science, 65(11), 5268-5289. https://doi.org/10.1287/mnsc.2018.3065
Geanakoplos, J. (2010). Solving the present crisis and managing the leverage cycle. Economic Policy Review, 16(Aug), 101-31.
Gofman, M. (2015). Efficiency and stability of a financial architecture with too-interconnected-to-fail institutions. External Seminar Paper. International Monetary Fund.
Gordon, A. D. (1999). Classification, 2nd Edition. In Chapman & Hall (Eds.) CRC Monographs on Statistics & Applied Probability. CRC Press.
Gorton, G., & Ordonez, G. (2014). Collateral crises. The American Economic Review, 104, 343-78.
Gromb, D., & Vayanos, D. (2002). Equilibrium and welfare in markets with financially constrained arbitrageurs. Journal of Financial Economics, 66, 361-407.
Hattori, T.. (2021). Noise as a liquidity measure: evidence from the JGB market. Pacific-Basin Finance Journal, 67 (June), 101515. https://doi.org/10.1016/j.pacfin.2021.101515
Heider, F., Hoerova, M., & Holthausen, C. (2015). Liquidity hoarding and interbank market spreads: The role of counterparty risk. Journal of Financial Economics, 118, 336-54.
Hennig, C. (2015). FPC: Flexible Procedures for Clustering. R package version 2, pp. 1–10.
Henrard, M. P. (2019). LIBOR fallback and quantitative finance. Risks, 7(3), 88. https://doi.org/10.3390/risks7030088
Hernando-Veciana, Á., & Tröge, M. (2020). Cheap talk and strategic rounding in LIBOR submissions. The Review of Financial Studies, 33(6), 2585-2621.
Hou, D. & Skeie, R. D. (2014). LIBOR: Origins, economics, crisis, scandal, and reform (March 1, 2014). FRB of New York Staff Report No. 667.
Hu, G. X., Pan, J., & Wang, J. (2013). Noise as information for illiquidity. The Journal of Finance, 68, 2341-82. https://doi.org/10.1111/jofi.12083
Huan, X., Previts, G. J., & Parbonetti, A. (2023). Understanding the LIBOR scandal: The historical, the ethical, and the technological. Journal of Banking Regulation, 24(4), 403-419. https://doi.org/10.1057/s41261-022-00205-4
Huang, W., & Todorov, K. (2022). The post-Libor world: A global view from the BIS derivatives statistics. BIS Quarterly Review, December.
ICE Benchmark Administration, IBA. (2014). ICE LIBOR: Evolution of ICE LIBOR. ICE Benchmark Administration. https://ir.theice.com/press/news-details/2016/ICE-Benchmark-Administration-Publishes-Roadmap-for-ICE-LIBOR/
Indriawan, I., Jiao, F., & Tse, Y. (2021). The SOFR and the Fed’s influence over market interest rates. Economics Letters, 209, 110095. https://doi.org/10.1016/j.econlet.2021.110095
International Monetary Fund, IMF. (2015). Vulnerabilities, legacies, and policy challenges. Risks rotating to emerging markets. Global Financial Stability Report, October.
International Organization of Securities Commission. (2018). Statement on matters to consider in the use of financial benchmarks. January, 5. https://www.iosco.org/library/pubdocs/pdf/IOSCOPD589.pdf
JP Morgan. (2019). Leaving Libor: a landmark transition. J.P. Morgan Global Markets. January https://www.jpmorgan.com/content/dam/jpm/cib/complex/content/markets/libor-sofr/pdf-0.pdf
James, J., & Weber, N. (2000). Interest Rate Modeling. John Wiley & Sons, Inc.
Kansal, S., & Melatur, S. G. (2020). IBOR transition – a more in-depth look (April 15). Retrieved from: https://ssrn.com/abstract=3585460
Kapuściński, M. (2023). Interest rate pass-through to risk-free rates in Poland. NBP Working Papers Series, 358.
Karahan, C. C., & Soykök, E. (2023). On illiquidity of an emerging sovereign bond market. Economic Systems, , 101073. https://doi.org/10.1016/j.ecosys.2023.101073
Keogh, E., & Ratanamahatana, C. A. (2005). Exact indexing of dynamic time warping. Knowledge and Information Systems, 7, 358-386. https://doi.org/10.1007/s10115-004-0154-9
Kirti, D. (2022). What are reference rates for? Journal of Banking & Finance, 144, 106635. https://doi.org/10.1016/j.jbankfin.2022.106635
Kiff, J. (2012). Back to basics: What is LIBOR? Finance & Development, 49(4), 33–35. International Monetary Fund. https://www.imf.org/external/pubs/ft/fandd/2012/12/basics.htm
Klingler, S., & Syrstad, O. (2021). Life after LIBOR. Journal of Financial Economics, 141(2), 783-801. https://doi.org/10.1016/j.jfineco.2021.04.017
Koeppl, T., Monnet, C., & Temzelides, T. (2012). Optimal clearing arrangements for financial trades. Journal of Financial Economics, 103(1), 189-203. https://doi.org/10.1016/j.jfineco.2011.08.008
Kozińska, M. (2023). Od WIBOR do WIRON – przesłanki reformy wskaźników referencyjnych stopy procentowej a stabilność polskiego systemu finansowego. Bezpieczny Bank, 91(2), 61-90. https://doi.org/10.26354/bb.3.2.91.2023
Kubacki, D. (2023). Reformy referencyjnych stóp procentowych na wybranych rynkach finansowych. Bezpieczny Bank, 91(2), 34-60. https://doi.org/10.26354/bb.2.2.91.2023
Kudenholdt, S. (2018). LIBOR — Hazards on the road to reform. The Journal of Structured Finance, 24(1), 8-13. https://doi.org/10.3905/jsf.2018.24.1.008
Kuo, D., Skeie, R. D., & Vickery, I. J. (2018). A Comparison of Libor to other measures of bank borrowing costs. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3272370
Leitner, Y. (2005). Financial networks: Contagion, commitment, and private sector bailouts. The Journal of Finance 60(6), 2925-53. https://doi.org/10.1111/j.1540-6261.2005.00821.x
Li, M., Sun, H., & Zong, J. (2021). Intertemporal imitation behavior of interbank offered rate submissions. Journal of Banking & Finance, 132, 106219. https://doi.org/10.1016/j.jbankfin.2021.106219
Lubiński, M. (2013). Międzynarodowy rynek pieniężny i zarażenie. Gospodarka Narodowa. The Polish Journal of Economics, 264, 19-41.
Lucas, R. E. (1978). Asset prices in an exchange economy. Econometrica, 46, 1429-45.
Lyashenko, A., & Mercurio, F. (2019). Looking forward to backward-looking rates: a modeling framework for term rates replacing LIBOR. Technical Report. http://dx.doi.org/10.2139/ssrn.3330240
Markose, S., Giansante, S., & Shaghaghi, R. A. (2012). ‘Too interconnected to fail’ financial network of US CDS market: Topological fragility and systemic risk. Journal of Economic Behavior and Organization, 83(3), 627-46. https://doi.org/10.1016/j.jebo.2012.05.016
McAndrews, J., Sarkar, A., & Wang, Z. (2017). The effect of the term auction facility on the London interbank offered rate. Journal of Banking & Finance, 83, 135-152. https://doi.org/10.1016/j.jbankfin.2016.12.011
McConnell, P. (2013). Systemic operational risk: The LIBOR manipulation scandal. The Journal of Operational Risk, 8(3), 59-99. https://doi.org/10.21314/JOP.2013.127
Mehra, Y. P. (1995). Some key empirical determinants of short-term nominal interest rates. Federal Reserve Bank of Richmond. Economic Quarterly, 81, 33-51.
Milligan, G. W., & Cooper, M. C. (1987). Methodology review: Clustering methods. Applied Psychological Measurement, 11, 329-354. https://doi.org/10.1177/014662168701100401
Molnar, A., & Csiszárik‐Kocsír, Á. (2024). Do ECB’s rate hikes have spillover effects on the Hungarian BUBOR and the EUR/HUF exchange rate? A five‐variable VAR model approach using the Diebold‐Yilmaz spillover table. Journal of Corporate Accounting & Finance, 35(4), 39–57. https://doi.org/10.1002/jcaf.22716.
Montero, P., & Vilar, J. A. (2014). TSclust: an R Package for time series clustering. Journal of Statistical Software, 62, 1-43. https://doi.org/10.18637/jss.v062.i01
Morris, S., & Shin, S. H. (2012). Contagious adverse selection. American Economic Journal: Macroeconomics, 4(1), 1-21. https://doi.org/10.1257/mac.4.1.1
Nelson, Ch, R., & Siegel, F. A. (1987). Parsimonious modelling of yield curves. Journal of Business, 60, 473-89.
Nier, E.W., Yang, J., Yorulmazer, T., & Alentorn, A. (2008). Network models and financial stability. Bank of England Working Paper No. 346.
Office of Financial Research, OFR. (2015). Financial Stability Report, December. https://www.financialresearch.gov/financial-stability-reports/files/OFR_2015-Financial-Stability-Report_12-15-2015.pdf
Pala, M. (2024). COVID-19 and the fragmentation of the European interbank market. Discussion Papers, 07/2024, Deutsche Bundesbank. http://dx.doi.org/10.2139/ssrn.4268232
Petitjean, F., Ketterlin, A., & Gançarski, P. (2011). A global averaging method for dynamic time warping, with applications to clustering. Pattern Recognition, 44, 678-693. https://doi.org/10.1016/j.patcog.2010.09.013
Pontines, V., & Rummel, O. (2023). LIBOR meets machine learning: A Lasso regression approach to detecting data irregularities. Finance Research Letters, 55, 103852. https://doi.org/10.1016/j.frl.2023.103852
Qi, M., Shi, D., Feng, S., Wang, P., & Nnenna, B. A. (2022). Assessing the interconnectedness and systemic risk contagion in the Chinese banking network. International Journal of Emerging Markets, 17(3), 889-913. https://doi.org/10.1108/IJOEM-08-2021-1331
Rauch, B., Goettsche, M. & El Mouaaouy, F. (2013). LIBOR Manipulation empirical analysis of financial market benchmarks using Benford’s law. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2363895
Regulation (EU) 2016/1011 of the European Parliament and of the Council of 8 June 2016 on indices used as benchmarks in financial instruments and financial contracts or to measure the performance of investment funds and amending Directives 2008/48/EC and 2014/17/EU and Regulation (EU) No 596/2014. http://data.europa.eu/eli/reg/2016/1011/oj
Sakoe, H., & Chiba, S. (1971). A dynamic programming approach to continuous speech recognition. In: Presented at the Proceedings of the Seventh International Congress on Acoustics, Akad´emiai Kiad´o, Budapest, pp. 65–69.
Sakoe, H., & Chiba, S. (1978). Dynamic programming algorithm optimization for spoken word recognition. IEEE Trans. Acoust. Speech Signal Process, 26, 43-49. https://doi.org/10.1109/TASSP.1978.1163055.
Scheinkman, J. A., & Xiong, W. (2003). Overconfidence and speculative bubbles. Journal of Political Economy,111(6), 1183-1220. https://doi.org/10.1086/378531
Schmitz, H. (2011). Direct evidence of risk aversion as a source of advantageous selection in health insurance. Economics Letters, 113, 180-82.
Schrimpf, A., & Sushko, V. (2019). Beyond LIBOR: A primer on the new benchmark rates. BIS Quarterly Review. Bank for International Settlements.
Schrimpf, A., Shin, S. H., & Sushko, V. (2020). Leverage and margin spirals in fixed income markets during the COVID-19 crisis. BIS Bulletin, 2.Bank for International Settlements.
Schubert, E. (2017). Knowledge discovery in databases, Part III, Clustering.
Scott, H.. S. (2012). Interconnectedness and contagion. Committee on Capital Markets Regulation, 16-18, November 20.
Shiller, R., &. McCulloch, H. J. (1990). The term structure of interest rates. In B. M. Friedman and F. H. Hahn (Eds.) Handbook of Monetary Economics (pp. 627–722). Elsevier.
Shleifer, A., & Vishny, W. R. (1997). The limits of arbitrage. The Journal of Finance, 52, 35-55.
Silva, W., Kimura, H., & Sobreiro, A. V. (2017). An analysis of the literature on systemic financial risk: a survey. Journal of Financial Stability, 28 (February), 91114. https://doi.org/10.1016/j.jfs.2016.12.004
Smaga, P. (2014). The concept of systemic risk. Systemic Risk Centre, LSE, Special Paper Series, 5.
Stenfors, A. (2018). Bid-ask spread determination in the FX swap market: competition, collusion or a convention? Journal of International Financial Markets, Institutions and Money, 54, 78–97. https://doi.org/10.1016/j.intfin.2017.08.001
Stenfors, A., & Lindo, D. (2018). Libor 1986–2021: The making and unmaking of ‘the world’s most important price. Distinktion: Journal of Social Theory, 19(2), 170-192. https://doi.org/10.1080/1600910X.2018.1430599
Svensson, L. E. (1995). Estimating forward interest rates with the extended Nelson & Siegel method. Quarterly Review. Sveriges Riksbank, 3, 13-26.
The Association for Financial Markets in Europe, AFME. (2019). “IBOR Reform: What preparations do banks still need to make?” Conference on Benchmark Rate Reform: Association for Financial Markets in Europe. March 2019.
Upper, Ch. (2011). Simulation methods to assess the danger of contagion in interbank markets. BIS Working Paper no 234, Bank for International Settlements.
Upper, Ch., & Worms, A. (2004). Estimating bilateral exposures in the German interbank market: Is there a danger of contagion? European Economic Review, 48(4), 827-49. https://doi.org/10.1016/j.euroecorev.2003.12.009
Vassallo, D., Lieven, H., &, Kostka, T. (2020). Volatility-targeting strategies and the market sell-off. European Central Bank, Financial Stability Review, 05/2020, 41-43. https://www.ecb.europa.eu/pub/pdf/fsr/ecb.fsr202005~1b75555f66.mt.pdf
Vaughan, L., & Finch, G. (2017). Libor scandal: The bankers who fixed the world’s most important number. The Guardian, January 18.
Vivar, M. L., Wedow, M., & Weistroffer, Ch. (2020). Burned by leverage? Flows and fragility in bond mutual funds. Working Paper Series, 2413. European Central Bank.
Volatility Lab, GARCH models documentation. https://vlab.stern.nyu.edu/doc?topic=mdls
Wang, T., Zhao, S., Wang, W., & Yang, H. (2023). How Does Exogenous Shock Change the Structure of Interbank Network?: Evidence from China under COVID-19. Emerging Markets Finance and Trade, 59(4), 937-958. https://doi.org/10.1080/1540496x.2022.2127315
Walesiak, M., & Dudek, A. (2016). ClusterSim: Searching optimal clustering procedure for a data set. R package version 0.45-1.
Wieczorek, D., Stachura, M., Wachecka-Kotkowska, L., Marks, L., Krzyszkowski, D., A., & Karaś, M. (2021). Similarities among glacials and interglacials in the LR04 benthic oxygen isotope stack over the last 1.014 million years revealed by cluster analysis and a DTW algorithm. Global and Planetary Change 202, 103521. https://doi.org/10.1016/j.gloplacha.2021.103521
Zawadowski, A. (2013). Entangled financial systems. Review of Financial Studies, Society for Financial Studies, 26(5), 1291-1323.
Downloads
Published
License
Copyright (c) 2025 Ewa Dziwok, Marta Karaś, Michał Stachura
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
Accepted 2024-09-26
Published 2025-06-09
