Document Type
Article
Publication Date
2013
Abstract
U.S. money market yields up to one month have shown changes consistent with year-end liquidity preferences. I find that three- and six-month negotiable certificate of deposit (CD), Eurodollar deposit (ED), and banker’s acceptance (BA) yields are also affected by year-end liquidity preferences. Two- and three-month financial commercial paper (CP) yield changes are less pronounced. Banks – CD, ED, and BA issuers – have increased year-end liquidity needs, unlike finance companies – predominant CP issuers. The year-end effect disappears after the 2007-2008 crisis as depositories’ cash holdings increase. CD, ED, and CP yields diverge post-crisis, suggesting that investors no longer consider them close substitutes.
Recommended Citation
Kotomin, Vladimir, "The Year-end Effect in Money Market Yields: Beyond One Month and Beyond the Crisis" (2013). Faculty Publications - Finance, Insurance, and Law. 8.
https://ir.library.illinoisstate.edu/fpfil/8
Comments
This article was originally published in Journal of Financial Research 36, no. 2 (2013): 233-51.