Interest-rate and calendar-time effects in money market fund and bank deposit cash flows

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• 作者：Vladimir Kotomin (1)
  Stanley D. Smith (2)
  Drew B. Winters (3)
  
• 关键词：Money Market Funds ; Amortized Cost ; Preferred Habitat for Liquidity
• 刊名：Journal of Economics and Finance
• 出版年：2014
• 出版时间：January 2014
• 年：2014
• 卷：38
• 期：1
• 页码：84-95
• 全文大小：184 KB
• 作者单位：Vladimir Kotomin (1)
  Stanley D. Smith (2)
  Drew B. Winters (3)
  
  1. Department of Finance, Insurance & Law, College of Business, Illinois State University, Campus Box 5480, Normal, IL, 61790-5480, USA
  2. Department of Finance, College of Business Administration, University of Central Florida, Orlando, FL, 32816-1400, USA
  3. Department of Finance, Rawls College of Business, Texas Tech University, Box 42101, Lubbock, TX, 79409-2101, USA
  
• ISSN：1938-9744

文摘

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.