The price of risk at year-end: evidence from interbank lending
AbstractThis paper analyses Risk premia on overnight interbank loans increase by a factor of 13 at year-end. Further, this finding is not consistent with common theories of similar year-end anomalies in other money markets. In particular, seasonal liquidity demands seem to explain only a fraction of the effect. Although evidence of year-end window dressing is found in the interbank market, such activity cannot explain the change in pricing behaviour because information about the risk of interbank loans is never publicly disclosed.
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Bibliographic InfoPaper provided by Bank for International Settlements in its series BIS Working Papers with number 76.
Length: 29 pages
Date of creation: Oct 1999
Date of revision:
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