The Turn of the Year in Money Markets: Tests of the Risk‐Shifting Window Dressing and Preferred Habitat Hypotheses

Griffiths, Mark D.; Winters, Drew B.

doi:10.1086/430862

Cited by 67 publications

(52 citation statements)

References 17 publications

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“…Instead, our results suggest that bank quarter-end activity is most consistent with banks responding to customer quarter-end holdings of cash in the form of demand deposits. Griffiths and Winters (2005) find increased levels of demand deposits in association with the year-end preferred habitat in the money market. Allen and Saunders' (1992) …”

Section: Introductionmentioning

confidence: 89%

“…First, Griffiths and Winters (2005) show that using averages hides the timing of changes around quarter-ends and that the specific timing of changes is important in determining if window dressing exists. Second, Griffiths and Winters find that the year-end rate increase in one-month commercial paper is common across one-month private-issue money market securities and that the pattern is consistent with a year-end preferred habitat for liquidity.…”

Section: Reasons To Re-visit Bank Window Dressingmentioning

confidence: 99%

“…Musto attributes the year-end rate pattern to flight-from-risk window dressing by money fund managers. Griffiths and Winters (2005) re-visit the year-end rate pattern in commercial paper using different methods and show that the timing of the rate changes at the year-end is not consistent with window dressing. They suggest that the timing of the rate changes is consistent with a year-end preferred habitat for liquidity.…”

Section: Introductionmentioning

confidence: 99%

“…Because year-end obligations are not all due on the last day of the year the decline in rates from lenders returning to the market need not align with the last day of the year. In fact, Griffiths and Winters (2005) show that the decline in rates typically starts a few days before the end of the year. Allen and Saunders (1992) examine bank balance sheets and find that bank assets are higher at quarter-ends than the average across the last month of quarter.…”

Section: Introductionmentioning

confidence: 99%

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Quarter-End Effects in Banks: Preferred Habitat or Window Dressing?

Kotomin

Winters

2006

J Finan Serv Res

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Section: Introductionmentioning

confidence: 89%

Section: Reasons To Re-visit Bank Window Dressingmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Quarter-End Effects in Banks: Preferred Habitat or Window Dressing?

Kotomin

Winters

2006

J Finan Serv Res

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“…The previous sets of papers studied daily and intraday seasonality, often as caused by macroeco- Following on related work of Griffiths and Winters [40] in repos, Griffiths and Winters [39] find that yields on one month T-Bills (and other one-month securities) increase significantly at the beginning of December, remain high during December, and return to normal a few days before the year-end. This pattern does not exist in three-month T-bills.…”

Section: End-of-the-year Patterns In One-month Treasury Billsmentioning

confidence: 99%

The Microstructure of the U.S. Treasury Market

Mizrach

Neely

2008

SSRN Journal

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This article discusses the microstructure of the U.S. Treasury securities market. Treasury securities are nominally riskless debt instruments issued by the U.S. government. Microstructural analysis is a field of economics/finance that examines the roles played by heterogenous agents, institutional detail, and asymmetric information in the trading process. The article describes types of Treasury issues; stages of the Treasury market; the major players, including the role of the Federal Reserve Bank of New York and the interdealer brokers; the structure of both the spot and futures markets; the findings of the seasonality/announcement and order book literature; and research on price discovery. We conclude by discussing possible future avenues of research.JEL Codes: D53, E43, E44, G12, Keywords: Treasury, microstructure, spreads, order book, announcement * We would like to thank Dick Anderson, Frank Fabozzi, Michael Fleming, Robert Rasche and an anonymous referee for detailed comments which greatly improved this manuscript. The views expressed are those of the authors and do not necessarily reflect views of the Federal Reserve Bank of St. Louis or the Federal Reserve System. GlossaryAlgorithmic trading Algorithmic trading is the practice of automatically transacting based on a quantitative model.Broker A broker is a firm that matches buyers and sellers in financial transactions. An interdealer broker (IDB) is an intermediary providing trading services to hedge funds, institutions, and other dealers. IDB's handle the majority of Treasury securities transactions in the secondary market.Coupons Owners of Treasury notes and bonds receive periodic payments called coupons. They are fixed by the Treasury at auction and are typically paid semi-annually.Depth Depth is the quantity the dealer is willing to sell at the bid or offer. Electronic communications networks (ECN)The Securities and Exchange Commission defines electronic communications networks (ECNs) as "electronic trading systems that automatically match buy and sell orders at specified prices."Market microstructure Market microstructure is a field of economics that studies the price formation process and trading procedures in security markets.On-the-run On-the-run refers to the most recently auctioned Treasury security of a particular maturity. After the next auction, the security goes off-the-run. Price discovery The process by which prices adapt to new information.Primary dealers Primary dealers are large brokerage firms and investment banks that are permitted to trade directly with the Federal Reserve in exchange for making markets in Treasuries. They provide the majority of liquidity in the Treasury market, participate in Treasury auctions, and provide information to assist the Fed in implementing open market operations.Secondary market After the initial auction of Treasury instruments, trading in on-the-run and off-the-run securities makes up the secondary Treasury market.When issued When-issued bonds are those Treasuries whose auctions have been ann...

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Treasury Market, Microstructure of the U.S.

Mizrach

Neely

2009

Encyclopedia of Complexity and Systems Science

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The Turn of the Year in Money Markets: Tests of the Risk‐Shifting Window Dressing and Preferred Habitat Hypotheses

Cited by 67 publications

References 17 publications

Quarter-End Effects in Banks: Preferred Habitat or Window Dressing?

Quarter-End Effects in Banks: Preferred Habitat or Window Dressing?

The Microstructure of the U.S. Treasury Market

Treasury Market, Microstructure of the U.S.

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