The Price of Risk at Year-End: Evidence from Interbank Lending

BIS Working Paper No. 76

25 Pages Posted: 13 Oct 1999

Date Written: September 1999

Abstract

Risk premia on overnight interbank loans increase by a factor of 13 at year-end. Further, this finding is not consistent with common theories of similar year-end anomalies in other money markets. In particular, seasonal liquidity demands seem to explain only a fraction of the effect. Although evidence of year-end window dressing is found in the interbank market, such activity cannot explain the change in pricing behavior because information about the risk of interbank loans is never publicly disclosed.

JEL Classification: G12, G14, G21

Suggested Citation

Furfine, Craig, The Price of Risk at Year-End: Evidence from Interbank Lending (September 1999). BIS Working Paper No. 76, Available at SSRN: https://ssrn.com/abstract=181668 or http://dx.doi.org/10.2139/ssrn.181668

Craig Furfine (Contact Author)

Kellogg School of Management - Department of Finance ( email )

Evanston, IL 60208
United States

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