The Price of Risk at Year-End: Evidence from Interbank Lending
BIS Working Paper No. 76
25 Pages Posted: 13 Oct 1999
Date Written: September 1999
Abstract
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 behavior because information about the risk of interbank loans is never publicly disclosed.
JEL Classification: G12, G14, G21
Suggested Citation: Suggested Citation
Do you want regular updates from SSRN on Twitter?
Recommended Papers
-
Interest on Reserves and Daylight Credit
By Huberto M. Ennis and John A. Weinberg
-
Unconventional Monetary Policies: An Appraisal
By Claudio E. V. Borio and Piti Disyatat
-
Unconventional Monetary Policies: An Appraisal
By Claudio E. V. Borio and Piti Disyatat
-
Unconventional Monetary Policies: An Appraisal
By Claudio E. V. Borio and Piti Disyatat
-
Precautionary Reserves and the Interbank Market
By Adam B. Ashcraft, James Mcandrews, ...
-
Precautionary Reserves and the Interbank Market
By Adam B. Ashcraft, James Mcandrews, ...
-
Divorcing Money from Monetary Policy
By Todd Keister, Antoine Martin, ...
-
The Liquidity Effect in the Federal Funds Market: Evidence from Daily Open Market Operations
By Seth B. Carpenter and Selva Demiralp