TY - JOUR
T1 - Year-end and quarter-end effects in the term structure of sterling repo and Eurepo rates
AU - Griffiths, Mark D.
AU - Kotomin, Vladimir
AU - Winters, Drew B.
N1 - Funding Information:
The Eurepo is sponsored by the European Banking Federation, with the support of the European Repo Council, and completes the range of existing benchmark indices, such as Euribor, Eonia, and the Eonia Swap Index.
PY - 2009/12
Y1 - 2009/12
N2 - Griffiths and Winters [Griffiths, M., Winters, D., 1997. On a preferred habitat for liquidity at the turn-of-the-year: evidence from the term-repo market, Journal of Financial Services Research 12, 21-38] find a year-end preferred habitat for liquidity for US repo rates, and, later [Griffiths, M., Winters, D., 2005. The-turn-of-the-year in money markets: tests of the riskshifting window dressing and preferred habitat hypotheses, Journal of Business 78, 1337-1364] find a similar preferred habitat for US money market instruments. Kotomin et al. [Kotomin, V., Smith, S., Winters, D., 2008. Preferred habitat for liquidity in international shortterm interest rates, Journal of Banking and Finance 32, 240-250] 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.
AB - Griffiths and Winters [Griffiths, M., Winters, D., 1997. On a preferred habitat for liquidity at the turn-of-the-year: evidence from the term-repo market, Journal of Financial Services Research 12, 21-38] find a year-end preferred habitat for liquidity for US repo rates, and, later [Griffiths, M., Winters, D., 2005. The-turn-of-the-year in money markets: tests of the riskshifting window dressing and preferred habitat hypotheses, Journal of Business 78, 1337-1364] find a similar preferred habitat for US money market instruments. Kotomin et al. [Kotomin, V., Smith, S., Winters, D., 2008. Preferred habitat for liquidity in international shortterm interest rates, Journal of Banking and Finance 32, 240-250] 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.
KW - Preferred habitat
KW - Repos
KW - Term structure
UR - http://www.scopus.com/inward/record.url?scp=71549131611&partnerID=8YFLogxK
U2 - 10.1016/j.intfin.2009.04.001
DO - 10.1016/j.intfin.2009.04.001
M3 - Article
AN - SCOPUS:71549131611
SN - 1042-4431
VL - 19
SP - 803
EP - 817
JO - Journal of International Financial Markets, Institutions and Money
JF - Journal of International Financial Markets, Institutions and Money
IS - 5
ER -