SEASONAL-VARIATION IN COST-OF-FUNDS AT THRIFT INSTITUTIONS

The purpose of this note is threefold. First, in addition to the well- known seasonal pattern to the eleventh-district cost-of-funds (COF), w e document a twelve-month seasonal in the national median COF. Second, we demonstrate that the cause of seasonality in each of these COF ser ies is due to the maladjustment of length-of-month effects. In particu lar, the eleventh-district COF is biased upwards in relatively short m onths while the national median is biased downward. Third, we show tha t the popular partial adjustment model for modeling the COF is misspec ified.