Recent Successes of Screens for Conspiracies and Manipulations: Why Are There Still Skeptics?

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Rosa Abrantes-Metz, Oct 29, 2014

A veritable “who’s who” of high profile financial benchmarks has been under investigation for years now, and likely for years to come. The first was USD LIBOR. In 2008 two Wall Street Journal articles reported possible manipulation intended to artificially depress the LIBOR rate based on an empirical screen. These reports were quickly followed by my own research presenting evidence of possible collusion among many of the participating banks well before the financial crisis. Investigations then extended to other “Ibors” including Euribor, Yen LIBOR, and TIBOR. To date banks have already been fined more than $6 billion, and more is expected.

After the “Ibors” came foreign exchange, when in mid-2013 Bloomberg presented evidence of a possible manipulation based on screening of price movements. My own work on FX was contained in a December 2013 complaint filed in New York, which extended Bloomberg’s analysis and showed further evidence of highly anomalous price spikes at key times of the day when certain benchmarks are set.

The London Gold Fixing was next. In December 2013 I wrote an Op-Ed arguing that the large price declines I observed around the time of the London pm and Silver fixings—when the “price of gold and silver” for the day are determined for the purposes of many derivative contracts—were consistent with collusion to manipulate these benchm…

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