Template-Type: ReDIF-Article 1.0
Author-Name: Dániel Horváth
Author-Name: Eszter Makay
Author-Workplace-Name: Magyar Nemzeti Bank
Author-Email: horvathd@mnb.hu
Title: Analysis methodology of interbank reference
rates - International trends and the results of
the first Hungarian annual statistical analysis
for 2014
Abstract: The importance of interbank rate quotations is enormous from the aspect of pricing
loans, deposits, and financial instruments, and in general for the efficiency of
resource allocation mechanisms in the economy. Consequently, it is crucial to ensure
that interest rate quotations are defined in a transparent, authentic, and reliable
way, and that they reflect true market conditions and the widest possible information
base without any distortion. In recent years, following the manipulation experienced
on international financial markets, the regulatory environment has been made
stricter, and the mechanism of determining key interbank reference indicators has
been transformed. Adjusted to international trends, the quoting practice of BUBOR
has been reconsidered, and the control has been transformed. Apart from official
and internal banking audits offering direct insights in the checking of interbank
rate quotations, more emphasis has been laid in recent years on statistical analyses
that belong to the scope of indirect analysis methods, and our article will focus on
this new method of examination. The article reviews the methods used so far in
international and domestic statistical examinations, and presents the Hungarian
analysis framework compiled on the commission of the Quotation Committee of
the Hungarian Forex Association (MFT), as well as the results of the first analysis
regarding 2014. The article contributes to the international technical literature on
the subject mainly by building an analytical frame based on the example of the
Hungarian interbank reference rate, using various statistical approaches, which
will demonstrate the key aspects of the conduct of individual panel banks and the
development of the reference rate.
Classification-JEL:G14, G18, G21, C38
Keywords: BUBOR, reference rate, LIBOR, cluster analysis, structural breaks
Journal: Financial and Economic Review  
Pages: 62–88
Volume: 14
Issue: 2
Year: 2015
File-URL: http://english.hitelintezetiszemle.hu/letoltes/3-horvath-makay-en.pdf
File-Format: Application/pdf
Handle: RePEc:mnb:finrev:v:14:y:2015:i:2:p:62-88