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Money Market Mutual Fund Maturity and Interest Rates

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  • Domian, Dale L

Abstract

The 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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  • Domian, Dale L, 1992. "Money Market Mutual Fund Maturity and Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 24(4), pages 519-527, November.
    • Handle: RePEc:mcb:jmoncb:v:24:y:1992:i:4:p:519-27
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    Cited by:

    1. Golitsis, Petros & Gkasis, Pavlos & Bellos, Sotirios K., 2022. "Dynamic spillovers and linkages between gold, crude oil, S&P 500, and other economic and financial variables. Evidence from the USA," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    2. Davis, Kevin, 2008. "Portfolio maturity choice of Australian cash management trusts," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1173-1185, December.
    3. 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.
    4. Kauko, Karlo, 2005. "The demand for money market mutual funds," Bank of Finland Research Discussion Papers 14/2005, Bank of Finland.
    5. G. Koppenhaver & Travis Sapp, 2005. "Money Funds or Markets? Valuing Intermediary Services," Journal of Financial Services Research, Springer;Western Finance Association, vol. 27(1), pages 51-76, February.
    6. Kauko, Karlo, 2005. "The demand for money market mutual funds," Bank of Finland Research Discussion Papers 14/2005, Bank of Finland.
    7. Patrick E. McCabe, 2010. "The cross section of money market fund risks and financial crises," Finance and Economics Discussion Series 2010-51, Board of Governors of the Federal Reserve System (U.S.).
    8. repec:zbw:bofrdp:2005_014 is not listed on IDEAS
    9. 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.
    10. Domian, Dale L. & Reichenstein, William, 1997. "Performance and persistence in money market fund returns," Financial Services Review, Elsevier, vol. 6(3), pages 169-183.

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