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Libor Vs Bank Base Rate

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Here's an interesting paper on the subject.

The probability of observing a monthly average equal to or greater than the one

observed over the recent peak from 14 August 2007 to 13 September 2007 is only

0.000019, or approximately once every 52,000 months, just once every 4300 years.

The probability of observing a daily ratio equal to or greater than the one observed on

13 September 2007 is only 0.00000268, or approximately once every 1000 years.

Either statistics are bunk (to doubly misquote Henry Ford) or we really are living in strange times although, personally, I'd say that a perfect normal distribution does not often fit economic data well. History is littered with the metaphorical corpses of financial institutions and individuals that underestimated the tail risk. Kurtosis is king!

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  • 294 Brexit, House prices and Summer 2020

    1. 1. Including the effects Brexit, where do you think average UK house prices will be relative to now in June 2020?

      • down 5% +
      • down 2.5%
      • Even
      • up 2.5%
      • up 5%

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