Finance and Financial Management Commons^™

Preferred Habitat For Liquidity In International Short-Term Interest Rates, Vladimir Valeryevich Kotomin

Electronic Theses and Dissertations

U.S. money market securities have been found to exhibit behavior consistent with preferred habitat for liquidity around year-ends (Griffiths and Winters (1997, 2004)). In particular, repurchase agreement and commercial paper yields tend to increase when the security begins to mature across the end of the year, and return to normal levels after the year-end obligations have been paid but before the calendar year-end. The competing hypothesis, window dressing by financial intermediaries around disclosure dates, requires that the increase in yields be sustained until after the turn of the year. This study is aimed at finding whether the behavior of international …