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A Test Of The Expectations Hypothesis In Very Short-Term International Rates In The Presence Of Preferred Habitat For Liquidity, Vladimir Kotomin
A Test Of The Expectations Hypothesis In Very Short-Term International Rates In The Presence Of Preferred Habitat For Liquidity, Vladimir Kotomin
Faculty Publications - Finance, Insurance, and Law
This study incorporates year-end and quarter-end preferences for liquidity and other calendar-time effects into the test of the expectations hypothesis (EH) in the very short-term LIBOR (maturities of one month and shorter) in seven major world currencies. The calendar-time effects are found to alter long-term relations between very short-term rates in these currencies. These effects alone are not responsible for the rejection of the EH in the data, as it is rejected in most of the cases even after appropriate controls are introduced. However, such effects are capable of causing the EH to be rejected and should be controlled for …
The Fed And The 2007-2009 Financial Crisis: Treating A Virus With Antibiotics? Evidence From The Commercial Paper Market, Mark D. Griffiths, Vladimir Kotomin, Drew B. Winters
The Fed And The 2007-2009 Financial Crisis: Treating A Virus With Antibiotics? Evidence From The Commercial Paper Market, Mark D. Griffiths, Vladimir Kotomin, Drew B. Winters
Faculty Publications - Finance, Insurance, and Law
The two main explanations for the 2007-2009 financial crisis in the money markets are credit concerns and liquidity issues. These risks are intimately related, especially in the money markets, and either can lead to somewhat similar behavior by market participants. We study the U.S. commercial paper (CP) market to draw insights about the nature of the crisis which resulted in the amount of outstanding CP shrinking from the peak of $2.18 trillion in early August 2007 to $1.27 trillion in early July 2009. However, the CP market is not homogeneous in terms of credit quality, maturities and types of issues …