Title

Interest-Rate And Calendar-Time Effects In Money Market Fund And Bank Deposit Cash Flows

Keywords

Amortized Cost; Money Market Funds; Preferred Habitat for Liquidity

Abstract

We examine the sensitivities of aggregate balances of retail and institutional money market funds (MMFs) and their potential substitutes, bank deposits, to changes in short-term interest rates while controlling for calendar-time effects. We find that institutional MMF and time deposit cash flows are sensitive to recent changes in short-term interest rates. Institutional MMF investors appear to take advantage of arbitrage opportunities created by MMFs using the amortized cost technique. Retail MMF investors are much less responsive to changes in interest rates. © 2011 Springer Science+Business Media, LLC.

Publication Date

1-1-2014

Publication Title

Journal of Economics and Finance

Volume

38

Issue

1

Number of Pages

84-95

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1007/s12197-011-9210-y

Socpus ID

84892887524 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/84892887524

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