Intraday Trading in the Overnight Federal Funds Market
7 Pages Posted: 5 Jan 2006
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.
Keywords: Federal funds market, intraday trading
JEL Classification: E43, E52, G21
Suggested Citation: Suggested Citation