Seasonal Effects and Volume-yield Relationship in the Central Bank Indexed Promissory Notes
Abstract
This article analyzes information on yields and volume on daily transactions of Central Bank indexed promissory notes (PRBC) from July 1995 to June 1998. Daily yields increase on Mondays, reaching maximum values on Wednesdays, followed by a decline to minimum values on Fridays. The highest weekly yield is observed in the last week of the month, with a general upward trend in yields observed from the start to the end of the month. With regard to PRBC’s volume-yield relation, I found that higher yields correspond to more active trading periods and yields rise strongly with the aggregation of trading data. Central Bank monetary policy, through the monetary policy rate, accounts on average for 6% of this relation. Finally, the volume-yield relation is sensitive to the type of data aggregation, and may show an inverse relation when data is ordered according to days to maturity.
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