Interest-rate and calendar-time effects in money market fund and bank deposit cash flows

Vladimir Kotomin; Stanley D. Smith; Drew B. Winters

doi:10.1007/s12197-011-9210-y

Interest-rate and calendar-time effects in money market fund and bank deposit cash flows

Vladimir Kotomin, Stanley D. Smith, Drew B. Winters

Business Administration

Research output: Contribution to journal › Article › peer-review

3 Scopus citations

Abstract

We examine the sensitivities of aggregate balances of retail and institutional money market funds (MMFs) and their potential substitutes, bank deposits, to changes in short-term interest rates while controlling for calendar-time effects. We find that institutional MMF and time deposit cash flows are sensitive to recent changes in short-term interest rates. Institutional MMF investors appear to take advantage of arbitrage opportunities created by MMFs using the amortized cost technique. Retail MMF investors are much less responsive to changes in interest rates.

Original language	English
Pages (from-to)	84-95
Number of pages	12
Journal	Journal of Economics and Finance
Volume	38
Issue number	1
DOIs	https://doi.org/10.1007/s12197-011-9210-y
State	Published - Jan 2014

Keywords

Amortized Cost
Money Market Funds
Preferred Habitat for Liquidity

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KW - Amortized Cost

KW - Money Market Funds

KW - Preferred Habitat for Liquidity

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Interest-rate and calendar-time effects in money market fund and bank deposit cash flows

Abstract

Keywords

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