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.

本文解决了可能损害银行同业拆借利率 (IBOR) 系统可靠性的问题。使用上海银行同业拆借利率 (SHIBOR) 的证据，我们发现一些 SHIBOR 面板银行在下一个工作日观察同行报价后模仿同行报价。跨期行为的强度可以通过“Signed Active-minus-Stationary (SAmS)”指数来衡量，该指数可以显着预测 SHIBOR 的变化。此外，我们发现市场并未完全感知和理解模仿行为的后果，因此与 SHIBOR 挂钩的衍生品定价错误。我们的研究结果表明，除了恶意串通之外，基于民意调查的利率基准的监管机构应该注意提交的跨期模仿。