Title

Year-end and Quarter-end Effects in the Term Structure of Sterling Repo and Eurepo Rates

Authors

Mark D. Griffiths, Miami University - Oxford
Vladimir Kotomin, Illinois State UniversityFollow
Drew B. Winters, Texas Tech University

Document Type

Article

Publication Date

2009

Keywords

Repos, Preferred habitat, Term structure

Abstract

Griffiths and Winters (1997) find a year-end preferred habitat for liquidity for US repo rates, and, later, Griffiths and Winters (2005) find a similar preferred habitat for US money market instruments. Kotomin et al. (2008) 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.

Comments

This article was originally published in Journal of International Financial Markets, Institutions and Money 19, no. 5 (2009): 803-17. https://doi.org/10.1016/j.intfin.2009.04.001.

Recommended Citation

Griffiths, Mark D.; Kotomin, Vladimir; and Winters, Drew B., "Year-end and Quarter-end Effects in the Term Structure of Sterling Repo and Eurepo Rates" (2009). Faculty Publications - Finance, Insurance, and Law. 14.
https://ir.library.illinoisstate.edu/fpfil/14