A Model for the Efficient Investment of Temporary Funds by Corporate Money Managers

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In this study seventeen various relationships between yields of three-month, six-month, and twelve-month maturity negotiable CD's and U.S. Government T-Bills were analyzed to find a leading indicator of short-term interest rates. Each of the seventeen relationships was tested for correlation with actual three-, six-, and twelve-month yields from zero to twenty-six weeks in the future. Only one relationship was found to be significant as a leading indicator. This was the twelve-month yield minus the six-month yield adjusted for scale and accumulated where the result was positive. This indicator (variable nineteen in the study) was further tested for usefulness as a ... continued below

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vi, 160 leaves: ill.

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McWilliams, Donald B., 1936- August 1974.

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  • McWilliams, Donald B., 1936-

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In this study seventeen various relationships between yields of three-month, six-month, and twelve-month maturity negotiable CD's and U.S. Government T-Bills were analyzed to find a leading indicator of short-term interest rates. Each of the seventeen relationships was tested for correlation with actual three-, six-, and twelve-month yields from zero to twenty-six weeks in the future. Only one relationship was found to be significant as a leading indicator. This was the twelve-month yield minus the six-month yield adjusted for scale and accumulated where the result was positive. This indicator (variable nineteen in the study) was further tested for usefulness as a trend indicator by transforming it into a function consisting of +1 (when its slope was positive), 0 (when its slope was zero), and -1 (when its slope was negative). Stage II of the study consisted of constructing a computer-aided model employing variable nineteen as a forecasting device. The model accepts a week-by-week minimum cash balance forecast, and the past thirteen weeks' yields of three-, six-, and twelve-month CD's as input. The output of the model consists of a cash time availability schedule, a numerical listing of variable nineteen values, the thirteen-week history of three-, six-, and twelve-month CD yields, a plot of variable nineteen for the next thirteen weeks, and a suggested investment strategy for cash available for investment in the current period.

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vi, 160 leaves: ill.

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UNT Theses and Dissertations

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  • August 1974

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  • March 9, 2015, 8:15 a.m.

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  • Feb. 24, 2017, 2:16 p.m.

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McWilliams, Donald B., 1936-. A Model for the Efficient Investment of Temporary Funds by Corporate Money Managers, dissertation, August 1974; Denton, Texas. (digital.library.unt.edu/ark:/67531/metadc500736/: accessed December 17, 2017), University of North Texas Libraries, Digital Library, digital.library.unt.edu; .