Abstract
We investigate the information contained in the London Interbank Offered Rate (LIBOR) and the U.S. Constant Maturity Treasury (CMT) term structure of interest rates and report two novel findings. First, we document that the information contained in terms structures are significantly different from one another. Second, we provide evidence of a significant change in the nature of this difference as the financial crisis began in 2007, a period over which there is alleged collusive behavior in LIBOR settings.
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