INVESTIGADORES
ROSSO Osvaldo Anibal
artículos
Título:
Libor at crossroads: stochastic switching detection using Information Theory quantifiers
Autor/es:
A. FERNÁNDEZ BARIVIERA; M. BELÉN GUERCIO; L B. MARTINEZ; O. A. ROSSO
Revista:
CHAOS, SOLITONS AND FRACTALS
Editorial:
PERGAMON-ELSEVIER SCIENCE LTD
Referencias:
Lugar: Amsterdam; Año: 2016 vol. 88 p. 172 - 182
ISSN:
0960-0779
Resumen:
This paper studies the 28 time series of Libor rates, classified in seven maturities and four currencies, during the last 14 years. The analysis was performed using a novel technique in financial economics: the Complexity?Entropy Causality Plane. This planar representa- tion allows the discrimination of different stochastic and chaotic regimes. Using a tempo- ral analysis based on moving windows, this paper unveils an abnormal movement of Libor time series around the period of the 2007 financial crisis. This alteration in the stochastic dynamics of Libor is contemporary of what press called ?Libor scandal?, i.e. the manipula- tion of interest rates carried out by several prime banks. We argue that our methodology is suitable as a market watch mechanism, as it makes visible the temporal redution in informational efficiency of the market.