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What is Month-End Liquidity and Market Impact about?

1) The paper examines how institutional liquidity needs around the monthly payment cycle impact asset prices in liquid markets globally. 2) Evidence shows temporary increases in short-term borrowing costs and stock/bond yields coinciding with dates associated with month-end cash needs. 3) By linking to settlement conventions, the paper provides evidence that anticipated liquidity-driven selling around the turn of the month increases short-term yields, while subsequent buying pressure drives the positive

Author

ssdeb

Language

EN