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dc.contributor.advisorWest, James
dc.contributor.authorRhodes, Joshua
dc.contributor.otherBaylor University.en_US
dc.date.accessioned2018-12-18T17:01:28Z
dc.date.available2018-12-18T17:01:28Z
dc.date.copyright2018-12-03
dc.date.issued2018-12-18
dc.identifier.urihttps://hdl.handle.net/2104/10471
dc.description.abstractThe London Inter Bank Offered Rate, or LIBOR, is used to reflect the cost of unsecured, overnight debt for large financial institutions and is used to price over $300 Trillion in financial contracts, worldwide. Although banks were penalized for defrauding the process of fixing LIBOR during the 2007-2009 Financial Crisis, no papers have studied the influence that LIBOR submissions had on other credit-risk indicators. In this paper, I use a Granger Causality Test to determine whether LIBOR submissions Granger Cause movements in these indicators. I find that changes in LIBOR rates Granger Cause changes in other credit-risk indicators but show a meaningfully different relationship from 2007- 2009. The post-crisis relationship strengthens and suggests a restoration of confidence from 2010-2017. I interpret this as evidence of the isolated costs of LIBOR misrepresentation upon the functioning of broader credit markets and the restoration of market balance by market participants and regulations.en_US
dc.language.isoen_USen_US
dc.rightsBaylor University projects are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. Contact libraryquestions@baylor.edu for inquiries about permission.en_US
dc.subjectFinanceen_US
dc.subjectEconomicsen_US
dc.subjectEconometricsen_US
dc.subjectMoney and Bankingen_US
dc.titleMarket Responses to LIBOR Misrepresentation of Credit Risken_US
dc.typeThesisen_US
dc.rights.accessrightsWorldwide accessen_US
dc.contributor.departmentFinance.en_US
dc.contributor.schoolshonors collegeen_US


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