Investigation of the fractal footprint in selected EURIBOR panel banks

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EURIBOR emerged as a conventional proxy for a risk-free rate for a reasonably long period of time after the creation of the Eurozone. However, the joy was short-lived, as the global credit crisis shook the markets in mid-2008. Significant counterparty risk embedded in a derivative transaction cannot be left out. EURIBOR reflects the credit spread on borrowing. Hence, risk and uncertainty are inextricably linked here. This study investigates five banks out of 19 panel banks that manage EURIBOR in various Eurozone countries. These banks, HSBC, ING, Deutsche Bank, the National Bank of Greece and Barclays, are tested from January 2009 to December 2017 on a daily basis. Bank specific EURIBOR can be predicted in all five cases with different degrees. The trace of a profound herd is observed in the case of the National Bank of Greece, others were relatively mild in nature. The customer base and their risk grade were recognized as the main factor. Their information asymmetry and derived information entropy suggest embedded chaos and uncertainty.

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    • Figure 1. The 5th order Hurst Exponent of Barclays Bank
    • Figure 2. Depicting the Fractal Dimension of Barclays Bank as Douady Rabbit
    • Figure 3. The 5th order Hurst Exponent for ING Bank
    • Figure 4. Depicting the Fractal Dimension of ING Bank as Vicsek Fractal
    • Figure 5. The 5th order Hurst Exponent for Deutsche Bank
    • Figure 6. Depicting the Fractal Dimension of Deutsche Bank as Vicsek Fractal
    • Figure 7. The 5th order Hurst Exponent for HSBC
    • Figure 8. Depicting the Fractal Dimension of HSBC as Vicsek Fractal
    • Figure 9. The 5th order Hurst Exponent for NBG
    • Figure 10. Depicting the Fractal Dimension of NBG as Tame Twin Dragon
    • Table 1. Hurst exponent values and interpretation
    • Table 2. Shannon’s entropy values and interpretation
    • Table 3. Depicting Hurst, Fractal Dimension and Shannon’s Entropy for Barclays Bank
    • Table 4. Depicting Hurst, Fractal Dimension and Shannon’s Entropy for ING Bank
    • Table 5. Depicting Hurst, Fractal Dimension and Shannon’s Entropy for Deutsche Bank
    • Table 6. Depicting Hurst, Fractal Dimension and Shannon’s Entropy for HSBC
    • Table 7. Depicting Hurst, Fractal Dimension and Shannon’s Entropy for NBG