2019
DOI: 10.2139/ssrn.3490463
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Risk of Window Dressing: Quarter-End Spikes in the Japanese Yen Libor-OIS Spread

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“…Similarly, Kikuchi et al (2019) support the idea that, to avoid window dressing by banks in repo markets, supervisors should require them to report their leverage ratio figure based on daily average rather than quarter‐end values. Along the same lines, Anbil and Senyuz (2018, pp.2) analyze the window dressing behaviour of non‐U.S.…”
Section: Literature Review and Hypotheses Testingmentioning
confidence: 98%
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“…Similarly, Kikuchi et al (2019) support the idea that, to avoid window dressing by banks in repo markets, supervisors should require them to report their leverage ratio figure based on daily average rather than quarter‐end values. Along the same lines, Anbil and Senyuz (2018, pp.2) analyze the window dressing behaviour of non‐U.S.…”
Section: Literature Review and Hypotheses Testingmentioning
confidence: 98%
“…More specifically, our paper is related to the strand of literature that analyzes window dressing practices in repo markets. 9 Various studies analyze the repo markets to detect possible window dressing practices (Behn et al, 2019;Kikuchi et al, 2019). Munyan (2017) analyzes the window dressing behaviour of non-U.S. banks in the U.S. repo markets and uncovers evidence of window dressing practices by these financial institutions, which temporarily removed an average of 170 billion $ from the U.S. repo markets before each quarter-end, aiming to appear more capitalized.…”
Section: Literature Review and Hypotheses Testingmentioning
confidence: 99%
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