Seasonal Variation in Cost‐of‐Funds at Thrift Institutions
发现全国中位数资金成本存在12个月季节性，并指出第十一区资金成本的季节性源于月份长度效应调整不当，同时证明流行的部分调整模型存在设定错误。
The purpose of this note is threefold. First, in addition to the well‐known seasonal pattern to the eleventh‐district cost‐of‐funds (COF), we document a twelve‐month seasonal in the national median COF. Second, we demonstrate that the cause of seasonality in each of these COF series is due to the maladjustment of length‐of‐month effects. In particular, the eleventh‐district COF is biased upwards in relatively short months while the national median is biased downward. Third, we show that the popular partial adjustment model for modeling the COF is misspecified.