A monthly effect has been reported in several financial market items such as the stock returns, inflation etc. in the Ghanaian economy but none has concentrated on studying calendar effect in the Treasury bill rate in Ghana. Our paper used regression on periodic dummies to investigate the existence of month-of-the-year effects in the Ghanaian Treasury bill rate and their significance by considering the 91-day and 182-day bills rate. The results revealed that there exists a pronounced month-of-the-year effects in both the 91-day and 182-day Treasury bills rate. It was also realized that, the month of July averagely had the highest rate within the period 1998 to 2012. However, the seasonal changes in Treasury bills rate were not a reflection of the effect of celebrative periods.
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