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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Working Papers Series
95/11, University of Stirling, Division of Economics.
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- Selva Demiralp & Brian Preslopsky & William C. Whitesell, 2004.
"Overnight interbank loan markets,"
Finance and Economics Discussion Series
2004-29, Board of Governors of the Federal Reserve System (U.S.).
- Hamilton, James D, 1996. "The Daily Market for Federal Funds," Journal of Political Economy, University of Chicago Press, vol. 104(1), pages 26-56, February.
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