Money Market Mutual Fund Maturity and Interest Rates
AbstractThe average maturity of money market mutual funds ranged from twenty-nine to fifty-three days during 1982 through 1990. According to the popular press, changes in this time series provide interest rate forecasts. The hypothesis is that fund managers lengthen their maturities when interest rates will be falling, while the maturities are shortened when rate increases are imminent. Granger-causality tests reject this hypothesis. However, there is a causal relation in the opposite direction. Interest rates Granger-cause average fund maturity, indicating that, on average, fund managers respond to past rate changes. Copyright 1992 by Ohio State University Press.
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Bibliographic InfoArticle provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.
Volume (Year): 24 (1992)
Issue (Month): 4 (November)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879
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- G. Koppenhaver & Travis Sapp, 2005. "Money Funds or Markets? Valuing Intermediary Services," Journal of Financial Services Research, Springer, vol. 27(1), pages 51-76, February.
- Bahmani-Oskooee, Mohsen, 1996. "Money market mutual fund maturity and interest rates: A note," International Review of Economics & Finance, Elsevier, vol. 5(1), pages 101-108.
- Yamori, Nobuyoshi, 1997. "Do Japanese banks lead or follow international business? An empirical investigation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(4), pages 369-382, December.
- Davis, Kevin, 2008. "Portfolio maturity choice of Australian cash management trusts," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1173-1185, December.
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