Search results for "Euribor"
showing 6 items of 6 documents
The information content of Eonia swap rates before and during the financial crisis
2013
Abstract Before August 2007, implied forward rates in the overnight interest swap rates closely reflected market expectations about the future path of the Eonia, and therefore, about the future course of the ECB’s monetary policy stance. Nevertheless, this link was weakened considerably during the most acute episode of the financial crisis. Using the expectations hypothesis of the term structure as a benchmark model for the determination of the overnight interest swap rates, we find that after May 2010 the monetary transmission mechanism was partially restored when the ECB implemented various ‘unconventional measures’ in response to the financial crisis. On the contrary, liquidity and credi…
Can Euribor be fixed?
2020
The manipulation of Euro Interbank Offered Rate (Euribor) is a problem with great impact on international financial markets. This paper focuses on two aspects of the Euribor benchmark rate for the period 2004–2018: the specific features that make the Index more vulnerable to manipulation and the potential for Index manipulation over the studied period. To address the first aspect, we examine the range and the standard deviation of daily quotes, as well as the panel banks’ quote submissions to the Euribor administrator, the maximum and minimum quotes and the daily variation of submissions. As a result, we found a group of five banks with similar and extreme submission patterns, which might b…
Econometric Model to Estimate Defaults on Payment in the Spanish Financial Sector in Oliver Wyman's Stress Tests.
2016
This work develops an econometric model based on the exogenous economic variables used in Oliver Wyman´s report. In this case the model is used in order to estimate late payments (NPLs) by Spanish credit entities. A model based on variables considered to be optimal to quantify impact on the NPLs is developed by studying the aforementioned variables, modifying them and eliminating any which are superfluous. Furthermore, whether or not the model is optimal for long periods of time is corroborated. This is due to the fact that the scenario in Oliver Wyman´s report from September 2012 (Wyman 2012) is based on 30 years of Spanish economical historical data, as stated in the report itself. The re…
Consideraciones sobre la cláusula irph a la luz de sus antecedentes y de la doctrina consolidada del tribunal de justicia de la union europea
2021
By issuing its judgment of March 3, 2020, the Court of Justice of the European Union (CJEU) has terminated the last episode in the evolution of the IRPH index to which almost a tenth of mortgages have been referring. in Spain, compared to the rest that the Euribor takes as a reference, declaring in essence that consumers will be able to go to court to declare the abusiveness of the clause that the aforementioned index contains in the deeds of constitution of the mortgage. To understand the scope of the current situation, it is convenient to consider even briefly what the IRPH consists of and the consequences that its application has entailed for the affected consumer borrowers, taking into …
Dynamics of Lending Rates in the Baltic Countries: Influence of Funding Costs of Banks and Risk Factors
2017
In the Baltic countries, lending rates have been among the highest in the euro area mainly reflecting national differences in the market structure as well as relatively strict credit standards applied by banks in response to the changes in their perception of risk. In this context, the deeper econometric analysis could provide additional information about the common and diverging aspects of the dynamics of lending rates in the Baltic countries. Therefore, the aim of the paper to explore the pass-through of funding costs of banks to lending rates in different lending segments in the Baltic countries during the period of 2005–2015 taking in account risk considerations. To reach the set aim, a…
The manipulation of Euribor: An analysis with machine learning classification techniques
2022
The manipulation of the Euro Interbank Offered Rate (Euribor) was an affair which had a great impact on in ternational financial markets. This study tests whether advanced data processing techniques are capable of classifying Euribor panel banks as either manipulating or non-manipulating on the basis of patterns found in quotes submissions. For this purpose, panel banks’ daily contributions have been studied and monthly variables obtained that denote different contribution patterns for Euribor panel banks. Thus, in accordance with the court verdict, banks are categorized as manipulating and non-manipulating and Machine Learning classification techniques such as Supervised Learning, Anomaly …