Investigation of the fractal footprint in selected EURIBOR panel banks
subject: Entropy; EURIBOR; Forward rate agreement (FRA); Herding; Multifractal detrended fluctuation analysis
description: EURIBOR emerged as a conventional proxy for a risk-free rate for a reasonably long period of time after the creation of the Eurozone. However, the joy was short-lived, as the global credit crisis shook the markets in mid-2008. Significant counterparty risk embedded in a derivative transaction cannot be left out. EURIBOR reflects the credit spread on borrowing. Hence, risk and uncertainty are inextricably linked here. This study investigates five banks out of 19 panel banks that manage EURIBOR in various Eurozone countries. These banks, HSBC, ING, Deutsche Bank, the National Bank of Greece and Barclays, are tested from January 2009 to December 2017 on a daily basis. Bank specific EURIBOR can be predicted in all five cases with different degrees. The trace of a profound herd is observed in the case of the National Bank of Greece, others were relatively mild in nature. The customer base and their risk grade were recognized as the main factor. Their information asymmetry and derived information entropy suggest embedded chaos and uncertainty. Bikramaditya Ghosh, Corlise Le Roux, Anjali Verma, 2020.
creator: Ghosh B.; Le Roux C.; Verma A.
source: Banks and Bank Systems, Vol-15, No. 1, pp. 185-198.
publisher: LLC CPC Business Perspectives
date: 2020-01-01
rights: All Open Access; Gold Open Access
relation: ISSN: 18167403
format: Online
language: English
type: Article
coverage: Ghosh B., Faculty of Finance, Christ Institute of Management, Christ University, India; Le Roux C., Faculty of Finance and Economics, American University in the Emirates, United Arab Emirates; Verma A., Faculty of Finance, Christ Institute of Management, Christ University, India