Year-end and quarter-end effects in the term structure of sterling repo and Eurepo rates
Griffiths and Winters [Griffiths, M., Winters, D., 1997. On a preferred habitat for liquidity at the turn-of-the-year: evidence from the term-repo market, Journal of Financial Services Research 12, 21-38] find a year-end preferred habitat for liquidity for US repo rates, and, later [Griffiths, M., Winters, D., 2005. The-turn-of-the-year in money markets: tests of the riskshifting window dressing and preferred habitat hypotheses, Journal of Business 78, 1337-1364] find a similar preferred habitat for US money market instruments. Kotomin et al. [Kotomin, V., Smith, S., Winters, D., 2008. Preferred habitat for liquidity in international shortterm interest rates, Journal of Banking and Finance 32, 240-250] document the preferred habitat in LIBOR for the major world currencies, excluding the British pound. We examine the robustness of these results using pound sterling and euro repo rates and find a year-end preferred habitat for liquidity in the euro repo rates. The British interest rates continue to behave differently, and we provide a possible explanation as to why this occurs.
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Volume (Year): 19 (2009)
Issue (Month): 5 (December)
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References listed on IDEAS
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- Vladimir Kotomin & Drew Winters, 2006. "Quarter-End Effects in Banks: Preferred Habitat or Window Dressing?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 29(1), pages 61-82, February.
- Ogden, Joseph P., 1987. "The End of the Month as a Preferred Habitat: A Test of Operational Efficiency in the Money Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(03), pages 329-343, September.
- Brown, Craig R. & Cyree, Ken B. & Griffiths, Mark D. & Winters, Drew B., 2008. "Further analysis of the expectations hypothesis using very short-term rates," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 600-613, April.
- White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
- Downing, Chris & Oliner, Stephen, 2007.
"The term structure of commercial paper rates,"
Journal of Financial Economics,
Elsevier, vol. 83(1), pages 59-86, January.
- Chris Downing & Stephen D. Oliner, 2004. "The term structure of commercial paper rates," Finance and Economics Discussion Series 2004-18, Board of Governors of the Federal Reserve System (U.S.).
- Mark Griffiths & Drew Winters, 1997. "On a Preferred Habitat for Liquidity at the Turn-of-the-Year: Evidence from the Term-Repo Market," Journal of Financial Services Research, Springer;Western Finance Association, vol. 12(1), pages 21-38, August.
- Kotomin, Vladimir & Smith, Stanley D. & Winters, Drew B., 2008. "Preferred habitat for liquidity in international short-term interest rates," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 240-250, February. Full references (including those not matched with items on IDEAS)
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