Preferred habitat for liquidity in international short-term interest rates

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

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Preferred habitat for liquidity in international short-term interest rates

机译：国际短期利率流动性的首选栖息地

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Risk-shifting window dressing and a preferred habitat for liquidity have been offered as possible explanations as to why US money market rates are higher before the year-end than afterwards. The two hypotheses differ in the timing of the rate decline at the year-end and the evidence on the timing of the decline supports the preferred habitat hypothesis in US money markets. This paper extends this line of research to the behavior of international short-term interest rates at year-ends and quarter-ends using London interbank offer rates (LIBOR) for 11 different currencies. The results suggest that the behavior of LIBOR for five currencies: the US Dollar, Euro, Japanese Yen, Swiss Franc, and German Mark is consistent with year-end or quarter-end preferred habitats for liquidity. Other currencies do not demonstrate consistently distinct patterns in turn-of-the-year and turn-of-the-quarter yields. None of the results provides any support for risk-shifting window dressing.

机译：已经提供了风险转移的窗口装饰和流动性的首选栖息地，以解释为什么美国货币市场利率在年底之前高于之后。这两个假设在年末利率下降的时间上有所不同，并且下降时间的证据支持美国货币市场中的首选栖息地假设。本文使用11种不同货币的伦敦银行同业拆借利率（LIBOR），将研究范围扩展到了年底和季度末的国际短期利率行为。结果表明，LIBOR对于五种货币（美元，欧元，日元，瑞士法郎和德国马克）的行为与年终或季度末流动性的首选栖息地一致。其他货币在年终和季度末收益率上并没有表现出一致的不同模式。没有任何结果为风险转移的窗户装饰提供任何支持。

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《Journal of banking & finance》 |2008年第2期|p.240-250|共11页
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Vladimir Kotomin; Stanley D. Smith; Drew B. Winters;
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Preferred habitat for liquidity in international short-term interest rates

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