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The manipulation of LIBOR by a group of banks became one of the major blowsto the remaining confidence in financial industry. Yet, despite an enormousamount of popular literature on the subject, rigorous time-series studies arefew. In my paper, I discuss the following hypothesis. Namely, if we shouldassume for a statistical null, the quotes, which were submitted by the memberbanks were true, the deviations from the LIBOR should have been entirely randombecause they were determined by idiosyncratic conditions by the member banks.This hypothesis can be statistically verified. Serial correlations of therates, which cannot be explained by the differences in credit qualities of themember banks or the domicile Governments, were subjected to correlation tests.A new econometric method--the analysis of the Wigner-Ville function borrowedfrom quantum mechanics and signal processing--is used and explained for thestatistical interpretation of regression residuals.

The Fellowship of LIBOR: A Study of Spurious Interbank Correlations by the Method of Wigner-Ville Function