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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- Emilio Barucci & Claudio Impenna & Roberto Reno, 2003.
"The Italian overnight market: microstructure effects, the martingale hypothesis and the payment system,"
Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area
475, Bank of Italy, Economic Research and International Relations Area.
- Emilio Barucci & Claudio Impenna & Roberto Reno, 2003. "The Italian Overnight Market: Microstructure Effects, the Martingale Hypothesis and the Payment System," CEIS Research Paper, Tor Vergata University, CEIS 24, Tor Vergata University, CEIS.
- Rosati, Simonetta & Secola, Stefania, 2006. "Explaining cross-border large-value payment flows: Evidence from TARGET and EURO1 data," Journal of Banking & Finance, Elsevier, Elsevier, vol. 30(6), pages 1753-1782, June.
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