A permutation information theory tour through different interest rate maturities: the Libor case

Autores
Fernández Bariviera, Aurelio; Guercio, María Belén; Martinez, Lisana Belén; Rosso, Osvaldo Aníbal
Año de publicación
2015
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
This paper analyses Libor interest rates for seven different maturities and referred to operations in British pounds, euros, Swiss francs and Japanese yen, during the period 2001–2015. The analysis is performed by means of two quantifiers derived from information theory: the permutation Shannon entropy and the permutation Fisher information measure. An anomalous behaviour in the Libor is detected in all currencies except euros during the years 2006–2012. The stochastic switch is more severe in one, two and three months maturities. Given the special mechanism of Libor setting, we conjecture that the behaviour could have been produced by the manipulation that was uncovered by financial authorities. We argue that our methodology is pertinent as a market overseeing instrument.
Fil: Fernández Bariviera, Aurelio. Universitat Rovira I Virgili; España
Fil: Guercio, María Belén. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca. Instituto de Investigaciones Económicas y Sociales del Sur. Universidad Nacional del Sur. Departamento de Economía. Instituto de Investigaciones Económicas y Sociales del Sur; Argentina. Provincia de Buenos Aires. Dirección General de Cultura y Educación. Universidad Provincial del Sudoeste; Argentina
Fil: Martinez, Lisana Belén. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca. Instituto de Investigaciones Económicas y Sociales del Sur. Universidad Nacional del Sur. Departamento de Economía. Instituto de Investigaciones Económicas y Sociales del Sur; Argentina. Provincia de Buenos Aires. Dirección General de Cultura y Educación. Universidad Provincial del Sudoeste; Argentina
Fil: Rosso, Osvaldo Aníbal. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Instituto Tecnológico de Buenos Aires; Argentina. Universidade Federal de Alagoas; Brasil
Materia
Financial Crisis
Libor Manipulation
Interest Rates
Information Theory
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/47681
Acceder
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repository_id_str 3498
network_name_str CONICET Digital (CONICET)
spelling A permutation information theory tour through different interest rate maturities: the Libor caseFernández Bariviera, AurelioGuercio, María BelénMartinez, Lisana BelénRosso, Osvaldo AníbalFinancial CrisisLibor ManipulationInterest RatesInformation Theoryhttps://purl.org/becyt/ford/5.2https://purl.org/becyt/ford/5This paper analyses Libor interest rates for seven different maturities and referred to operations in British pounds, euros, Swiss francs and Japanese yen, during the period 2001–2015. The analysis is performed by means of two quantifiers derived from information theory: the permutation Shannon entropy and the permutation Fisher information measure. An anomalous behaviour in the Libor is detected in all currencies except euros during the years 2006–2012. The stochastic switch is more severe in one, two and three months maturities. Given the special mechanism of Libor setting, we conjecture that the behaviour could have been produced by the manipulation that was uncovered by financial authorities. We argue that our methodology is pertinent as a market overseeing instrument.Fil: Fernández Bariviera, Aurelio. Universitat Rovira I Virgili; EspañaFil: Guercio, María Belén. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca. Instituto de Investigaciones Económicas y Sociales del Sur. Universidad Nacional del Sur. Departamento de Economía. Instituto de Investigaciones Económicas y Sociales del Sur; Argentina. Provincia de Buenos Aires. Dirección General de Cultura y Educación. Universidad Provincial del Sudoeste; ArgentinaFil: Martinez, Lisana Belén. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca. Instituto de Investigaciones Económicas y Sociales del Sur. Universidad Nacional del Sur. Departamento de Economía. Instituto de Investigaciones Económicas y Sociales del Sur; Argentina. Provincia de Buenos Aires. Dirección General de Cultura y Educación. Universidad Provincial del Sudoeste; ArgentinaFil: Rosso, Osvaldo Aníbal. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Instituto Tecnológico de Buenos Aires; Argentina. Universidade Federal de Alagoas; BrasilThe Royal Society2015-07info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/47681Fernández Bariviera, Aurelio; Guercio, María Belén; Martinez, Lisana Belén; Rosso, Osvaldo Aníbal; A permutation information theory tour through different interest rate maturities: the Libor case; The Royal Society; Philosophical Transactions of the Royal Society A - Mathematical Physical and Engineering Sciences; 373; 2056; 7-2015; 1-131364-503XCONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/doi/10.1098/rsta.2015.0119info:eu-repo/semantics/altIdentifier/url/http://rsta.royalsocietypublishing.org/content/373/2056/20150119info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-03T10:12:02Zoai:ri.conicet.gov.ar:11336/47681instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-03 10:12:02.523CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv A permutation information theory tour through different interest rate maturities: the Libor case
title A permutation information theory tour through different interest rate maturities: the Libor case
spellingShingle A permutation information theory tour through different interest rate maturities: the Libor case
Fernández Bariviera, Aurelio
Financial Crisis
Libor Manipulation
Interest Rates
Information Theory
title_short A permutation information theory tour through different interest rate maturities: the Libor case
title_full A permutation information theory tour through different interest rate maturities: the Libor case
title_fullStr A permutation information theory tour through different interest rate maturities: the Libor case
title_full_unstemmed A permutation information theory tour through different interest rate maturities: the Libor case
title_sort A permutation information theory tour through different interest rate maturities: the Libor case
dc.creator.none.fl_str_mv Fernández Bariviera, Aurelio
Guercio, María Belén
Martinez, Lisana Belén
Rosso, Osvaldo Aníbal
author Fernández Bariviera, Aurelio
author_facet Fernández Bariviera, Aurelio
Guercio, María Belén
Martinez, Lisana Belén
Rosso, Osvaldo Aníbal
author_role author
author2 Guercio, María Belén
Martinez, Lisana Belén
Rosso, Osvaldo Aníbal
author2_role author
author
author
dc.subject.none.fl_str_mv Financial Crisis
Libor Manipulation
Interest Rates
Information Theory
topic Financial Crisis
Libor Manipulation
Interest Rates
Information Theory
purl_subject.fl_str_mv https://purl.org/becyt/ford/5.2
https://purl.org/becyt/ford/5
dc.description.none.fl_txt_mv This paper analyses Libor interest rates for seven different maturities and referred to operations in British pounds, euros, Swiss francs and Japanese yen, during the period 2001–2015. The analysis is performed by means of two quantifiers derived from information theory: the permutation Shannon entropy and the permutation Fisher information measure. An anomalous behaviour in the Libor is detected in all currencies except euros during the years 2006–2012. The stochastic switch is more severe in one, two and three months maturities. Given the special mechanism of Libor setting, we conjecture that the behaviour could have been produced by the manipulation that was uncovered by financial authorities. We argue that our methodology is pertinent as a market overseeing instrument.
Fil: Fernández Bariviera, Aurelio. Universitat Rovira I Virgili; España
Fil: Guercio, María Belén. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca. Instituto de Investigaciones Económicas y Sociales del Sur. Universidad Nacional del Sur. Departamento de Economía. Instituto de Investigaciones Económicas y Sociales del Sur; Argentina. Provincia de Buenos Aires. Dirección General de Cultura y Educación. Universidad Provincial del Sudoeste; Argentina
Fil: Martinez, Lisana Belén. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca. Instituto de Investigaciones Económicas y Sociales del Sur. Universidad Nacional del Sur. Departamento de Economía. Instituto de Investigaciones Económicas y Sociales del Sur; Argentina. Provincia de Buenos Aires. Dirección General de Cultura y Educación. Universidad Provincial del Sudoeste; Argentina
Fil: Rosso, Osvaldo Aníbal. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Instituto Tecnológico de Buenos Aires; Argentina. Universidade Federal de Alagoas; Brasil
description This paper analyses Libor interest rates for seven different maturities and referred to operations in British pounds, euros, Swiss francs and Japanese yen, during the period 2001–2015. The analysis is performed by means of two quantifiers derived from information theory: the permutation Shannon entropy and the permutation Fisher information measure. An anomalous behaviour in the Libor is detected in all currencies except euros during the years 2006–2012. The stochastic switch is more severe in one, two and three months maturities. Given the special mechanism of Libor setting, we conjecture that the behaviour could have been produced by the manipulation that was uncovered by financial authorities. We argue that our methodology is pertinent as a market overseeing instrument.
publishDate 2015
dc.date.none.fl_str_mv 2015-07
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/47681
Fernández Bariviera, Aurelio; Guercio, María Belén; Martinez, Lisana Belén; Rosso, Osvaldo Aníbal; A permutation information theory tour through different interest rate maturities: the Libor case; The Royal Society; Philosophical Transactions of the Royal Society A - Mathematical Physical and Engineering Sciences; 373; 2056; 7-2015; 1-13
1364-503X
CONICET Digital
CONICET
url http://hdl.handle.net/11336/47681
identifier_str_mv Fernández Bariviera, Aurelio; Guercio, María Belén; Martinez, Lisana Belén; Rosso, Osvaldo Aníbal; A permutation information theory tour through different interest rate maturities: the Libor case; The Royal Society; Philosophical Transactions of the Royal Society A - Mathematical Physical and Engineering Sciences; 373; 2056; 7-2015; 1-13
1364-503X
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/doi/10.1098/rsta.2015.0119
info:eu-repo/semantics/altIdentifier/url/http://rsta.royalsocietypublishing.org/content/373/2056/20150119
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv The Royal Society
publisher.none.fl_str_mv The Royal Society
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
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score 13.13397

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