We examine the markets for one-month LIBOR futures contracts and options on those futures for a year-end price effect consistent with the previously identified year-end rate increase in one-month LIBOR. The cash market rate increase passes through to derivative prices, which allows the...

Musto (1997, Journal of Finance 52(4), 1861-1882) identifies a year-end effect in commercial paper (CP) and suggests that the price of risk may increase at the year-end. Griffiths and Winters (2003, Journal of Business, forthcoming) show that the timing of the year-end effect in CP is consistent...

This paper examines the Federal Reserve's increase of the allowable carryover in the bank settlement process to improve bank flexibility in achieving settlement. The implication of increasing flexibility is reduced rate volatility. We find federal funds loan volume increases, but find no...

This paper addresses whether Federal Reserve Board regulatory accounting requirements are sufficiently pervasive as to create regularities in government overnight repurchase agreement (repos) rates. We find that overnight government repos exhibit rate change and variance regularities consistent...

In a sample of bank loans to small firms, we find a positive relation between the bank's monitoring effort and the loan's interest rate. We also observe an inverse relation between the closeness of banking relationships and interest rates. Further, we see that banks less frequently monitor firms...

There is little direct empirical evidence on the value of having financial statements examined by independent accountants or on whether the benefits of attestation vary with degree. The purpose of our paper is to provide evidence on both of these issues by examining how interest rates charged on...

The money markets are at the heart of the recent financial crisis and are the subject of substantial news coverage. However, much of what was reported showed a lack of understanding of money markets in general and, specifically, a lack of understanding as to why the financial crisis unfolded as...

Rule 2a-7 defines the quality, maturity and diversity of investments allowed in money market fund (MMF) portfolios. Following the financial crisis, the Securities and Exchange Commission (SEC) modified this rule to improve the liquidity and the credit quality (valuation) of MMFs. We analyze the...