This paper analyses Risk premia on overnight interbank loans increase by a
factor of 13 at year-end. Further, this finding is not consistent with common
theories of similar year-end anomalies in other money markets. In particular,
seasonal liquidity demands seem to explain only a fraction of the effect.
Although evidence of year-end window dressing is found in the interbank market,
such activity cannot explain the change in pricing behaviour because information
about the risk of interbank loans is never publicly disclosed.
The views expressed in this publication are those of the authors and do not necessarily reflect the views of the BIS or its member central banks.