Intraday trading in the overnight federal funds market
Transaction-level data for the federal funds market provide a rare look at the intraday behavior of trade volume and prices. An analysis of the data reveals that trade volume exhibits large swings over the course of the day while prices remain fairly stable, with rate volatility rising sharply only in the late afternoon. The analysis underscores the important role played by institutional deadlines-most notably, the close of trading-in driving movements in this market.
Volume (Year): 11 (2005)
Issue (Month): Nov ()
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- Selva Demiralp & Brian Preslopsky & William Whitesell, 2004.
"Overnight interbank loan markets,"
Finance and Economics Discussion Series
2004-29, Board of Governors of the Federal Reserve System (U.S.).
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Journal of Business Finance & Accounting,
Wiley Blackwell, vol. 24(3), pages 343-362.
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- Brock, William A. & Kleidon, Allan W., 1992. "Periodic market closure and trading volume : A model of intraday bids and asks," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 451-489.
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