Maddalena Mandarà, Marco Rossi

Jurimetric Analysis on the Hypothesis of Euribor Manipulation

  • Abstract

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Keywords: Euribor, prime bank, disentangling method, portfolio theory, manipulations, financial crisis, credit default swap spreads, antitrust.

In this paper we analyze the reliability of Euribor after the beginning of the financial crisis. We purpose three theories about the incentives by banks to manipulate this benchmark rate to gain illegal profits: trading, portfolio and reputational theory. According to us, the main problem that afflicts the Euribor mechanism is the conflict of interest of the panel banks. We also study Euribor technical features and their conformity to Italian antitrust law. Our empirical analysis highlight an anomalous behavior of Euribor quotes since 2008. These results are similar to some others obtained by many academics in reference to Libor and considered theoretically compatibles with a manipulation strategy.

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