Analysis methodology of interbank reference rates – International trends and the results of the first Hungarian annual statistical analysis for 2014

22 June 2015

Author information:

Dániel Horváth: Magyar Nemzeti Bank, Economist Analyst. E-mail:

Eszter Makay: Magyar Nemzeti Bank, Junior Analyst. E-mail:

Abstract:

The importance of interbank rate quotations is enormous from the aspect of pricing loans, deposits, and financial instruments, and in general for the efficiency of resource allocation mechanisms in the economy. Consequently, it is crucial to ensure that interest rate quotations are defined in a transparent, authentic, and reliable way, and that they reflect true market conditions and the widest possible information base without any distortion. In recent years, following the manipulation experienced on international financial markets, the regulatory environment has been made stricter, and the mechanism of determining key interbank reference indicators has been transformed. Adjusted to international trends, the quoting practice of BUBOR has been reconsidered, and the control has been transformed. Apart from official and internal banking audits offering direct insights in the checking of interbank rate quotations, more emphasis has been laid in recent years on statistical analyses that belong to the scope of indirect analysis methods, and our article will focus on this new method of examination. The article reviews the methods used so far in international and domestic statistical examinations, and presents the Hungarian analysis framework compiled on the commission of the Quotation Committee of the Hungarian Forex Association (MFT), as well as the results of the first analysis regarding 2014. The article contributes to the international technical literature on the subject mainly by building an analytical frame based on the example of the Hungarian interbank reference rate, using various statistical approaches, which will demonstrate the key aspects of the conduct of individual panel banks and the development of the reference rate.

Cite as (APA):

Horváth, D., & Makay, E. (2015). Analysis methodology of interbank reference rates – International trends and the results of the first Hungarian annual statistical analysis for 2014. Financial and Economic Review, 14(2), 62–88. https://hitelintezetiszemle.mnb.hu/en/3-horvath-makay-en

PDF download
The works on this site are licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

Column:

Study

Journal of Economic Literature (JEL) codes:

G14, G18, G21, C38

Keywords:

BUBOR, reference rate, LIBOR, cluster analysis, structural breaks

References:

Bacharac, Y. – Elkind, E. – Faliszewski, P. (2011): Coalitional Voting Manipulation: A Game-theoretic perspective. International Joint Conference on Artificial Intelligence.

Bai, J. – Perron, P. (2003): Computation and Analysis of Multiple Structural Change Models. Journal of Applied Econometrics, Vol. 18., Issue 1., pp. 1–22.

Bariviera, A. F. – Guercio, M. B. – Martinez, B. L. (2015): Data manipulation detection via permutation information theory quantifiers. XVIII Conference on Nonequilibrium Statistical Mechanics and Nonlinear Physics.

Duffie, D. – Stein, J. C. (2014): Reforming LIBOR and Other Financial-Market Benchmarks. http://www.gsb.stanford.edu/gsb-cmis/gsb-cmis-download-auth/376246. Downloaded: 2015.04.22.

Eba, Esma (2013): Report on the administration and management of Euribor. https://www.esma.europa.eu/system/files/eba_bs_2013_002_annex_1.pdf Downloaded: 2015.04.22.

Erhart, Sz. – Ligeti, I. – Molnár, Z. (2013): A LIBOR-átvilágítás okai és hatásai a nemzetközi bankközi referenciakamat-jegyzésekre. MNB-szemle, január, pp.22-32.

Erhart, Sz. – Mátrai, R. (2015): The most important steps of BUBOR reforms led by the Central Bank of Hungary in an international comparison. Financial and Economic Review, Vol. 14 No. 1, March, pp. 129-165.

Fouquau, J. – Spieser, Ph. K. (2014): Statistical evidences about LIBOR manipulation: A “Sherlock Holmes’ investigation”. Journal of Banking & Finance, Vol. 50., January, pp. 632–643.

Haaker, A. (2013): To manipulate or not to manipulate – A short comment ont he game of interest rate manipulation. International Journal of Economics, Finance and Management Sciences. 1(1).

Horváth, D. – Kálmán, P. – Kocsis, Z. – Ligeti, I. (2014): Milyen tényezők mozgatják a hozamgörbét? MNB Szemle, March, pp. 28-39.

Monticini, A. – Thornton, D. L. (2013): The Effect of Underreporting on LIBOR Rates. Federal Reserve Bank of St. Louis, Working Paper 2013-008A. http://research.stlouisfed.org/wp/2013/2013-008.pdf. Downloaded: 2015.04.22.

Perron, P. (1997): Further evidence on breaking trend functions in macroeconomic variables. Journal of Econometrics, Vol. 80(2), pp. 355-385.

Pénzügyi Szervezetek Állami Felügyelete (2013): A BUBOR-hoz köthető állományok és a BUBOR jegyzések részletes statisztikai elemzése. https://felugyelet.mnb.hu/data/cms2384951/BUBOR_allomanyok_jegyzesek.pdf. Downloaded: 2015.04.22.

Walter, Gy. (2014): A sztenderd kereskedelmi banki hiteltermékek. In: Walter György (szerk.) Vállalatfinanszírozás a gyakorlatban: lehetőségek és döntések a magyar piacon. 244 p. Budapest: Alinea, pp. 63-76.

Wheatley Review (2012): The Wheatley Review of LIBOR: Final Report. September http://cdn.hm-treasury.gov.uk/wheatley_review_libor_finalreport_280912.pdf Downloaded: 2015.04.22.

Zivot, E. – Andrews, D. W. K. (1992): Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis. Journal of Business & Economic Statistics, Vol. 10(3), pp. 251-70.