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.

Employing the staggered opening of the High-speed railway (HSR) as an exogenous shock, this paper examines the impact of functional distance on bank loan pricing. Based on a unique loan-level dataset from a nationwide state-owned Chinese commercial bank, we find that after the HSR opening, the loan pricing of local private firms decreases significantly. The possible channel is the facilitating of bank's easier access to soft information through the shortening of temporal functional distance. Moreover, the effect of HSR opening is more pronounced when the borrowing firm is difficult to visit or when loan pricing is more sensitive to information. We also find that the HSR opening increases the loan volume for local private firms, while there are no significant changes in loan pricing or loan volume for public firms with HSR opening. Our main conclusion remains valid after considering various robustness and endogeneity issues.