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Intraday Predictability of Overnight Interest Rates

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  • Lee, Young-Sook

    (University of Nottingham)

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    Abstract

    Lee (2001) found the overnight Eurodollar rate in London and the effective Fed funds rate exhibit similar calendar-day effects although the absolute magnitudes are less. Explanations for the smaller calendar-day effects on the overnight Eurodollar rate include the difference between market-specific conventions in the two markets and the time difference in measuring two interest rates. This paper investigates the relationship between the Fed funds rate at 11:30 am EST, the effective Fed funds rate and the overnight Eurodollar rate in London. It is found that the different calendar-day effects are caused by both the difference between market structures and by data collecting time difference.

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    File URL: http://repec.org/res2002/Lee.pdf
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    Bibliographic Info

    Paper provided by Royal Economic Society in its series Royal Economic Society Annual Conference 2002 with number 122.

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    Date of creation: 29 Aug 2002
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    Handle: RePEc:ecj:ac2002:122

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