The price of risk at year-end: evidence from interbank lending
This 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.
|Date of creation:||Oct 1999|
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