A preferred habitat for liquidity in term repos: Before, during and after the financial crisis

Ahmed Baig, Drew B. Winters

Research output: Contribution to journalArticlepeer-review

Abstract

The money market rates in the United States have exhibited a year-end effect consistent with the preferred habitat for liquidity. We revisit the year-end preferred habitat for liquidity using data on government general collateral repurchase agreements (GC Repos). We find no evidence to suggest a year-end effect during the financial crisis. The result is consistent with liquidity hoarding by investors during a crisis characterized by liquidity and solvency issues. Additionally, our findings suggest that investors manage their year-end liquidity following the crisis even when interest rates are historically low.

Original languageEnglish
Pages (from-to)1-14
Number of pages14
JournalJournal of Economics and Business
Volume99
DOIs
StatePublished - Sep 1 2018

Keywords

  • Financial crisis
  • Preferred habitat
  • Repurchase agreements
  • Year-end effect

Fingerprint Dive into the research topics of 'A preferred habitat for liquidity in term repos: Before, during and after the financial crisis'. Together they form a unique fingerprint.

Cite this