In 2008, first suspicions arose that the London Interbank Offered Rate (LIBOR) had been systematically manipulated by financial institutions involved with its fixing; in June 2012, several major international banks officially admitted to this. The regulatory response could not have been...

We develop and test a model in which swap spreads are determined by end users’ demand for and constrained intermediaries’ supply of long-term interest rate swaps. Swap spreads reflect compensation both for using scarce intermediary capital and for bearing convergence risk—i.e., the risk...

In 2008, first suspicions arose that the London Interbank Offered Rate (LIBOR) had been systematically manipulated by financial institutions involved with its fixing; in June 2012, several major international banks officially admitted to this. The regulatory response could not have been...

In April this year, the Bank of England conducted its usual three-yearly survey of turnover in the United Kingdom’s foreign exchange and over-the-counter (OTC) interest rate derivatives markets. This forms part of the latest worldwide survey co-ordinated by the Bank for International...