Intertemporal Imitation Behavior of Interbank Offered Rate Submissions

Ming Li, Hang Sun*, Jichuan Zong

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review


This paper addresses a problem that may damage the reliability of an interbank offered rate (IBOR) system. Using evidence from the Shanghai Interbank Offered Rate (SHIBOR), we show that some SHIBOR panel banks imitate peers’ quotes after observing them on the next business day. The strength of the intertemporal behavior can be measured by a “Signed Active-minus-Stationary (SAmS)” index, which significantly predicts SHIBOR changes. Moreover, we find that the consequences of the imitation behavior are not fully perceived and understood by the market, and, as a result, SHIBOR-linked derivatives are mispriced. Our findings suggest that regulators of a poll-based interest rate benchmark should pay attention to the intertemporal imitation of submissions, in addition to bad faith collusion. The SAmS index can be utilized in the quality control of panel bank submissions.
Original languageEnglish
Article number106219
Number of pages14
JournalJournal of Banking & Finance
Publication statusPublished - Nov 2021

JEL classifications

  • g19 - General Financial Markets: Other
  • g28 - Financial Institutions and Services: Government Policy and Regulation


  • Imitation behavior
  • Interbank market
  • Interbank offered rate
  • Interest rate benchmark


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