Inside the Currency Market: Mechanics, Valuation, and Strategies

Seasonal Spot Currencies and LIBOR

For seasonal currency prices, see Exhibit 5.2, the historical monthly charts from 1999 to 2010 and notice that for most years, the highest LIBOR for the U.S. dollar occurred in or around November. This trend held from 1999 to 2007 and for the most part will probably hold for future years.

My personal theory why this occurs surrounds the fact that U.S. government budgets are normally voted and passed in October due to fiscal year end. Major U.S. companies tend toward fiscal years in line with U.S. government fiscal years and write a budget the same time as the U.S. government. So both entities conduct their heaviest borrowing in November to fund new budgets and force dollar costs up due to demand for dollars. ...