I understand the basics of "Turn of the year" effect. But I am wondering why does this effect sometimes cause overnight rates around year end to dip below normal overnight rate levels (i.e. negative term premium). I can understand the reason of overnight rates showing a spike due to balance sheet dressing/reserve requirements etc. but it is the dip in rates that I cant understand.
May be it is because of overly aggressive liquidity arrangements by central banks? Appreciate any help.